caramel2001 / Financial-Derivative-Analysis-and-SimulationLinks
Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)
☆29Updated last year
Alternatives and similar repositories for Financial-Derivative-Analysis-and-Simulation
Users that are interested in Financial-Derivative-Analysis-and-Simulation are comparing it to the libraries listed below
Sorting:
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆35Updated 2 years ago
- quantitative asset allocation strategy☆32Updated 7 months ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆15Updated 8 years ago
- Implements different approaches to tactical and strategic asset allocation☆39Updated 8 months ago
- Python Code for Quantitative Finance Papers☆39Updated 10 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Option Pricing with Machine Learning Methods☆13Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- Resources for Quantitative Finance☆15Updated 2 years ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆11Updated 7 years ago
- Code for Machine Learning for Algorithmic Trading, 2nd edition.☆19Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆28Updated 2 years ago
- This repository is the result of our work for the course CSCI-SHU 360 Machine Learning☆67Updated 4 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆29Updated 5 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 6 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆26Updated 2 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- An econometrics vector autoregression model (VAR) for analysis of multivariate time series of macroeconomics phenomena. Python Jupyter no…☆15Updated 4 years ago
- ☆23Updated 3 years ago