Asset allocation and Portfolio Management Course @ Baruch MFE
☆19Feb 1, 2020Updated 6 years ago
Alternatives and similar repositories for MTH9855-Asset-Allocation
Users that are interested in MTH9855-Asset-Allocation are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- SABR stochastic volatility model: calibration, implied-volatility surfaces and conditional Monte Carlo (MSc thesis, BSE)☆10Sep 27, 2026Updated last month
- Baruch MFE MTH9894☆14Jun 4, 2017Updated 9 years ago
- baruch mfe mth9814 financial instruments☆24Jun 3, 2018Updated 8 years ago
- SOFR curve construction methods calibrated to swap rates with advanced smoothing techniques for reliable pricing and risk analytics.☆12Jul 4, 2026Updated 4 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆28Dec 9, 2017Updated 8 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- 大类资产配置☆12Jun 3, 2021Updated 5 years ago
- Illustration for the paper "GMM DCKE - Semi-Analytic Conditional Expectations"☆10Sep 15, 2025Updated last year
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆17May 26, 2017Updated 9 years ago
- NYU FRE-GY 6971 Fixed Income Quant Trading☆11Jan 7, 2019Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- Order Book and Trade Book, Realized Volatility, Random Forest☆13Oct 23, 2023Updated 3 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- For the first time we derived a closed form solution for Black-Scholes impled volatility☆11Apr 11, 2020Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Affine Term-Structure Models: Theory and Implementation☆14Apr 6, 2020Updated 6 years ago
- ☆10Aug 9, 2022Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 9 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Jul 10, 2021Updated 5 years ago
- Baruch MFE 2019 Spring☆48May 29, 2020Updated 6 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 6 years ago
- Risk Parity and Factors Model on multi asseet management☆23Apr 6, 2021Updated 5 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- ☆10Feb 14, 2024Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Sep 12, 2026Updated last month
- quantitative asset allocation strategy☆38Sep 19, 2026Updated last month
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆32Jun 5, 2022Updated 4 years ago
- ☆11Mar 16, 2022Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 6 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆15Feb 2, 2023Updated 3 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- ☆14Jun 9, 2019Updated 7 years ago
- Quant finance scripts☆15Apr 13, 2025Updated last year
- Option Volatility and Pricing Models.☆15Feb 24, 2025Updated last year
- NYU Tandon Machine Learning and Finance Fall 2022☆12Dec 13, 2022Updated 3 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- Baruch MFE program quant lab☆32May 29, 2018Updated 8 years ago
- Price options analytically given stock price characteristic function☆17Nov 4, 2015Updated 11 years ago