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 cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- convertible bond pricing☆13Updated 11 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- SOFR curve bootstrapping☆26Updated 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 …☆13Updated 3 years ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 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
- ☆24Updated 5 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆15Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding del…☆10Updated 2 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
- Implements different approaches to tactical and strategic asset allocation☆39Updated 9 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆58Updated 8 years ago
- Baruch course - Market Microstructure☆14Updated 9 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- ☆25Updated 7 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago