QuhiQuhihi / project_FICC_QuantLinks
modeling FICC market with QuantLib
☆21Updated 3 years ago
Alternatives and similar repositories for project_FICC_Quant
Users that are interested in project_FICC_Quant are comparing it to the libraries listed below
Sorting:
- quantitative asset allocation strategy☆34Updated 10 months ago
- detecting regime of financial market☆41Updated 3 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆19Updated 8 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆23Updated 3 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- Pairs Trading in Python☆24Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Regime-Switching Model☆19Updated 8 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- ☆18Updated 7 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated 11 months ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39Updated 4 years ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆22Updated 3 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Updated 3 months ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- ☆16Updated 5 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago