FranklinMa810 / Baruch-MFE-Credit-Risk-Modeling
☆16Updated 8 years ago
Alternatives and similar repositories for Baruch-MFE-Credit-Risk-Modeling:
Users that are interested in Baruch-MFE-Credit-Risk-Modeling are comparing it to the libraries listed below
- ☆17Updated 7 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆15Updated 5 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆13Updated 5 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- Assignments submitted for the Certification in Quantitative Finance (CQF) 2016☆35Updated 7 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆51Updated 4 years ago
- ☆16Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Multi-Factor model with regression method☆9Updated 6 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- Options Pricing using Finite Difference Methods☆14Updated 7 years ago
- Homework for Baruch C++ Programming for Financial Engineering Course☆29Updated 4 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- Baruch MFE program quant lab☆9Updated 6 years ago
- SOFR curve bootstrapping☆25Updated 4 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆11Updated 5 years ago
- NYU Tandon lecture slides☆31Updated last month
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 years ago
- Fixed-Income-Quant-Trading Projects