QuhiQuhihi / project_FICC_Quant
modeling FICC market with QuantLib
☆20Updated 2 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
- quantitative asset allocation strategy☆21Updated 2 years ago
- Note for quant research, for study☆10Updated 2 years ago
- detecting regime of financial market☆33Updated 2 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 8 months ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆17Updated 7 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 6 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
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 4 years ago
- ☆7Updated 8 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…☆11Updated 3 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- Calibration of a Surface SVI☆12Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆29Updated 3 weeks ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆25Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 2 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 11 months ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆11Updated 9 years ago
- baruch mfe mth9814 financial instruments☆12Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- ☆17Updated 8 years ago
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- Interest-rate modeling and Fixed Income Pricing in Python☆11Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆54Updated 10 months ago