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
- Quantitative Finance using python - Derivatives Pricing☆43Updated 7 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Get discount factors and zero rates from interest rate swaps☆10Updated 7 years ago
- A financial trading method using machine learning.☆59Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Dispersion Trading using Options☆32Updated 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 weeks ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 10 months ago
- Simple corporate finance concepts like DCF, IRR, NPV, WACC, Debt, Unlevered Equity, Forward Contract Valuation.☆11Updated 6 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- ☆24Updated 6 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆17Updated 8 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- ☆57Updated last year
- Quantitative analysis of fundamentals in quarterly reports by Machine Learning☆22Updated 5 years ago
- Capital Asset Pricing Model implementation in python to analyze stock risk and return.☆26Updated 3 years ago
- Design your own Trading Strategy☆36Updated last year
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆50Updated 3 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 2 years ago
- quantitative - Quantitative finance back testing library☆64Updated 6 years ago
- Vanilla option pricing and visualisation using Black-Scholes model in pure Python☆125Updated 2 years ago
- ☆17Updated 6 years ago
- Developing a trend following model using futures☆31Updated last year
- ☆35Updated 7 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆54Updated 8 years ago