miabrahams / PricingTermStructure
Pricing the Term Structure with Linear Regressions
☆35Updated 6 years ago
Related projects ⓘ
Alternatives and complementary repositories for PricingTermStructure
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆23Updated 8 years ago
- Replication of key GARCH model papers☆31Updated 8 years ago
- ☆63Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆14Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆31Updated 5 years ago
- Calculate U.S. equity (portfolio) characteristics☆82Updated 3 months ago
- qmoms package to compute option-implied moments from surface data☆15Updated 6 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆111Updated last year
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆45Updated 4 years ago
- ☆100Updated 2 years ago
- ☆23Updated 7 years ago
- Estimation of realized quantities☆15Updated 5 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆39Updated last year
- Example code of simple things one can do with our open-source asset pricing data☆44Updated 2 months ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆23Updated 3 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆76Updated 2 months ago
- ☆39Updated 5 years ago
- Empirical Data and Some Simulation Codes☆97Updated 5 years ago
- Replication of https://ssrn.com/abstract=3984925☆19Updated 7 months ago
- ☆23Updated 10 months ago
- Python modules for time-series analysis and empirical asset pricing.☆14Updated 4 years ago
- ☆41Updated 2 months ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆21Updated 3 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated 10 months ago
- Multivariate GARCH modelling in Python☆15Updated this week
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆43Updated 5 years ago
- Code that I show on my YouTube Channel☆91Updated last year