pengxin123 / mth-9879View external linksLinks
Baruch course - Market Microstructure
☆14Feb 2, 2016Updated 10 years ago
Alternatives and similar repositories for mth-9879
Users that are interested in mth-9879 are comparing it to the libraries listed below
Sorting:
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- Baruch MFE program quant lab☆31May 29, 2018Updated 7 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- ☆16Nov 16, 2016Updated 9 years ago
- Baruch MFE 2019 Spring☆43May 29, 2020Updated 5 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- ☆24Jan 26, 2020Updated 6 years ago
- baruch mfe mth9814 financial instruments☆19Jun 3, 2018Updated 7 years ago
- Baruch MFE program quant lab☆17Feb 19, 2017Updated 8 years ago
- ☆16Apr 6, 2022Updated 3 years ago
- A collection of homeworks of market microstructure models.☆278May 4, 2018Updated 7 years ago
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆16May 26, 2017Updated 8 years ago
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated last month
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.☆22Jun 24, 2022Updated 3 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- ☆10Mar 16, 2022Updated 3 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- MFM workshop project☆14Jan 25, 2021Updated 5 years ago
- An Introduction to Computational Macroeconomics (U Tokyo 2022)☆14Jul 13, 2022Updated 3 years ago
- Certified in Quantitative Finance (CQF) program lead by CQF Institute & Fitch Learning.☆31Apr 10, 2023Updated 2 years ago
- Course projects of mathematical market microstructure.☆14Sep 8, 2019Updated 6 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Advanced Risk and Portfolio Management Resources☆33Aug 20, 2019Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Feb 8, 2026Updated last week
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Option Volatility and Pricing Models.☆12Feb 24, 2025Updated 11 months ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Stochastic local volatility model calibration☆18Apr 23, 2021Updated 4 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆15Nov 10, 2021Updated 4 years ago
- Quant finance scripts☆16Apr 13, 2025Updated 10 months ago
- Functions built on material from Columbia's Coursera courses on Financial Engineering and Risk Management (I & II).☆16Jan 15, 2018Updated 8 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆16May 2, 2019Updated 6 years ago