gjimzhou / MTH9815-Asset-Backed-Security-Modeling
A project of implementing, modeling, and simulating asset-backed securities.
☆16Updated 6 years ago
Alternatives and similar repositories for MTH9815-Asset-Backed-Security-Modeling:
Users that are interested in MTH9815-Asset-Backed-Security-Modeling are comparing it to the libraries listed below
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- ☆16Updated 6 years ago
- SOFR curve bootstrapping☆23Updated 4 years ago
- PortfolioLab is a python library that enables traders who want to take advantage of the latest portfolio optimisation algorithms used by …☆10Updated 4 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Baruch MFE 2019 Spring☆36Updated 4 years ago
- By means of stochastic volatility models☆42Updated 4 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 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
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- ☆24Updated 6 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆20Updated 4 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆11Updated 4 years ago
- Advanced Risk and Portfolio Management Resources☆25Updated 5 years ago
- A project of realizing multiple numerical option pricing methods, including trees, Monte Carlo simulations, and finite difference methods…☆20Updated 6 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Options Pricing using Finite Difference Methods☆14Updated 7 years ago
- Implements different approaches to tactical and strategic asset allocation☆29Updated 3 weeks ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆41Updated 2 years ago
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆14Updated 5 years ago
- Neural network local volatility with dupire formula☆74Updated 3 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆27Updated 3 years ago
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆25Updated 2 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 8 months ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆26Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year