fabriziobasso / PCAapplied_and_European_Yield_Curve
This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) technique on the European AAA-rated Government Bond Yield curve. The PCA can greatly simplify the problem of modelling the yield curve by massively reducing its dimensionality to a small set of uncorrelated features. …
☆16Updated 5 years ago
Alternatives and similar repositories for PCAapplied_and_European_Yield_Curve:
Users that are interested in PCAapplied_and_European_Yield_Curve are comparing it to the libraries listed below
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆23Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 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
- Predictive yield curve modeling in reduced dimensionality☆43Updated last year
- Python Package: Fitting and Forecasting the yield curve☆36Updated 3 years ago
- ☆16Updated 6 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆16Updated last year
- Deep Reinforcement Learning Framework for Factor Investing☆23Updated last year
- Options Pricing using Finite Difference Methods☆14Updated 7 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
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆19Updated 6 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
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 8 months ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 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
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 3 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
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆29Updated 3 weeks ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated 11 months ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago