YuSunBaruch / MTH9894_Systematic_Trading-1
This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course
☆14Updated 7 years ago
Related projects ⓘ
Alternatives and complementary repositories for MTH9894_Systematic_Trading-1
- 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
- Calibration of a Surface SVI☆12Updated 5 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
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆16Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆22Updated last year
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Calibration and pricing options in Heston model☆12Updated 6 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆10Updated 6 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆19Updated 6 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 6 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…☆10Updated 3 years ago
- SABR Implied volatility asymptotics☆22Updated 4 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
- Baruch course - Market Microstructure☆10Updated 8 years ago
- Volatility is Rough☆9Updated 2 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆10Updated 4 years ago
- ☆15Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- Baruch MFE program quant lab☆21Updated 6 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- SOFR curve bootstrapping☆21Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆45Updated 4 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 5 years ago
- Vanna-volga pricer for fx options☆8Updated 5 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
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year