mcf-long-short / fixed-income-and-credit
Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.
☆26Updated 3 years ago
Alternatives and similar repositories for fixed-income-and-credit:
Users that are interested in fixed-income-and-credit are comparing it to the libraries listed below
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- ☆16Updated 6 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 4 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
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 4 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 5 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- SOFR curve bootstrapping☆23Updated 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
- Implements different approaches to tactical and strategic asset allocation☆29Updated last month
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Dispersion Trading using Options☆31Updated 7 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆77Updated 5 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 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
- Surface SVI parameterisation and corresponding local volatility☆38Updated 4 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆42Updated 5 years ago
- ☆18Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆83Updated 5 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆16Updated last year
- A cursory look at the dynamics of zero coupon bond yield curves.☆11Updated 2 years ago
- ☆24Updated 6 years ago
- Code for calibrating the SABR model, used to model implied volatility smiles, described in the paper https://www.researchgate.net/publica…☆11Updated 5 years ago