rstreppa / valuation-callables-HullWhiteLinks
Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.
☆14Updated 7 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
Sorting:
- A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization☆62Updated 5 years ago
- Some notebooks with powerful trading strategies.☆95Updated 4 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆53Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆64Updated 5 years ago
- Find trading pairs with Machine Learning☆41Updated 4 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆54Updated 7 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- Developing a trend following model using futures☆34Updated last year
- Vanilla option pricing and visualisation using Black-Scholes model in pure Python☆133Updated 2 years ago
- Tools for stock options trading: finding best cash covered put and covered call to see, find best call to buy, etc. Keywords: Implied Vo…☆45Updated 5 months ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- CS7641 Team project☆96Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆106Updated 6 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆47Updated 4 years ago
- quantitative - Quantitative finance back testing library☆64Updated 6 years ago
- This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some…☆125Updated 3 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆55Updated 4 years ago
- Simulation of delta hedging☆18Updated 5 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆57Updated 8 years ago
- Design your own Trading Strategy☆38Updated last year
- In this project, I had backtested the cross-over trading strategy on Google Stock from Jan 2016 to June 2020. By using historical time-se…☆44Updated 5 years ago
- ☆64Updated 2 years ago
- ☆14Updated 3 years ago
- ☆35Updated 7 years ago
- This program analyzes unusual options activity by using a weighted average based on a trade's volume to compare all of the unusual otm op…☆67Updated 2 years ago