WencaiZheng / fix-income-quant-tradingLinks
some interest rate models such as Vasicek and dynamic Nelson-Siegel model
☆17Updated 5 years ago
Alternatives and similar repositories for fix-income-quant-trading
Users that are interested in fix-income-quant-trading are comparing it to the libraries listed below
Sorting:
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- ☆52Updated 8 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆56Updated 5 months ago
- Implemented some mathematical processings used in the Barra risk model☆30Updated 2 years ago
- Surface SVI parameterisation and corresponding local volatility☆51Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 4 years ago
- Implementation of 5-factor Fama French Model☆135Updated 4 years ago
- Tracking S&P 500 index with deep learning model☆13Updated 2 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- DCC GARCH modeling in Python☆97Updated 5 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆65Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18Updated last year
- This repository hosts my reading notes for academic papers.☆89Updated 4 years ago
- Learning project by project.☆20Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Machine learning methods for identifing investment factors☆32Updated 3 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Calibration and Simulation Engine for Local Volatility Models☆12Updated 3 years ago
- We implement the paper: Deep Learning Volatility☆196Updated 5 years ago
- A Python implementation of a Hybrid LSTM-GARCH model for volatility forecasting☆45Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Reimplementation of Paper: (Re-)Imag(in)ing Price Trends☆65Updated last month
- 多因子模型相关☆22Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago