MarcosCarreira / BrazilianDerivatives
Updates, charts, code, data, typos for the book 'Brazilian Derivatives and Securities"
☆17Updated 8 months ago
Alternatives and similar repositories for BrazilianDerivatives:
Users that are interested in BrazilianDerivatives are comparing it to the libraries listed below
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆22Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆11Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 6 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- NYU Tandon lecture slides☆31Updated this week
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆39Updated 3 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆31Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- ☆17Updated 7 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- Teaching Resources for Cuemacro courses☆53Updated last month
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Code that I show on my YouTube Channel☆98Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated last week
- Option Volatility and Pricing Models.☆12Updated last month
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- Quant Research☆71Updated last month
- SOFR curve bootstrapping☆23Updated 4 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- ☆28Updated 4 years ago