rstreppa / valuation-callables-HullWhite
Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.
☆14Updated 6 years ago
Alternatives and similar repositories for valuation-callables-HullWhite:
Users that are interested in valuation-callables-HullWhite are comparing it to the libraries listed below
- By means of stochastic volatility models☆44Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- Design your own Trading Strategy☆37Updated last year
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore moder…☆10Updated 4 years ago
- Dispersion Trading using Options☆32Updated 8 years ago
- A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization☆58Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 2 months ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆15Updated 2 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- quantitative - Quantitative finance back testing library☆63Updated 6 years ago
- Simple corporate finance concepts like DCF, IRR, NPV, WACC, Debt, Unlevered Equity, Forward Contract Valuation.☆11Updated 6 years ago
- Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get curre…☆18Updated last year
- Library for simulation and analysis of vanilla and exotic options☆33Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆51Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆41Updated 3 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- ☆38Updated 2 years ago
- A library for SEC data extraction, equity valuation, discovery of mispriced stocks☆29Updated 2 years ago
- Data and R code related to my medium article "Custom Factor Models - Build your own in R with a few lines of codes"☆18Updated 3 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- ☆17Updated 7 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Quantitative Momentum - Investment Strategy inspired by Wesley Gray and Jack Vogel☆39Updated 6 years ago