pingfcc99 / FixedIncomeQuantTradingLinks
☆18Updated 7 years ago
Alternatives and similar repositories for FixedIncomeQuantTrading
Users that are interested in FixedIncomeQuantTrading are comparing it to the libraries listed below
Sorting:
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- SOFR curve bootstrapping☆26Updated 5 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆92Updated 6 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…☆18Updated 6 years ago
- ☆25Updated 7 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- Advanced Risk and Portfolio Management Resources☆33Updated 6 years ago
- convertible bond pricing☆13Updated 11 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 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 …☆14Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆43Updated 3 years ago
- Design your own Trading Strategy☆38Updated last year
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- Implements different approaches to tactical and strategic asset allocation☆43Updated last year
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆29Updated 2 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 3 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- ☆24Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago