QuhiQuhihi / project_FICC_Quant
modeling FICC market with QuantLib
☆20Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for project_FICC_Quant
- quantitative asset allocation strategy☆19Updated 2 years ago
- Note for quant research, for study☆10Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- detecting regime of financial market☆31Updated 2 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆10Updated 6 months ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- ☆7Updated 8 years ago
- ☆18Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆15Updated 5 months ago
- Calibration of a Surface SVI☆12Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆30Updated 9 months ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆23Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Implements different approaches to tactical and strategic asset allocation☆26Updated last year
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆28Updated 5 years ago
- Baruch course - Market Microstructure☆10Updated 8 years ago
- Calibration and pricing options in Heston model☆12Updated 6 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆17Updated 2 years ago
- Basic Limit Order Book functions☆20Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago