Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore modern methods to price and calibrate such models and evaluate their pricing performance with respect to classical models and the observed market prices.
☆12Mar 4, 2021Updated 5 years ago
Alternatives and similar repositories for Advanced-Term-Structures
Users that are interested in Advanced-Term-Structures are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Apr 12, 2023Updated 2 years ago
- Affine term structure modeling Python package. See LICENSE for terms of use.☆15Aug 29, 2016Updated 9 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆19May 26, 2020Updated 5 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆15Dec 15, 2019Updated 6 years ago
- My personal work on the numerical projects of a book called "A First Course in Stochastic Calculus".☆16Apr 29, 2022Updated 3 years ago
- DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Hull-White 1/2 Factor Dynamics☆15Aug 20, 2022Updated 3 years ago
- Get discount factors and zero rates from interest rate swaps☆11Mar 1, 2018Updated 8 years ago
- Construction of local volatility surface by using SABR☆30Apr 29, 2017Updated 8 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆15Mar 11, 2019Updated 7 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Aug 25, 2020Updated 5 years ago
- Deploy Shinyproxy with Helm☆18Mar 24, 2026Updated 2 weeks ago
- Get images from Reddit and upload to Instagram, Twitter, and Facebook☆10Jan 5, 2021Updated 5 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆24Jul 26, 2019Updated 6 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆18Dec 11, 2019Updated 6 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click and start building anything your business needs.
- Jupyter notebooks of "Financial Numerical Recipes in C++" written in Python☆17Sep 2, 2016Updated 9 years ago
- Elements of Financial Risk Management in Python☆12Jan 10, 2021Updated 5 years ago
- ☆40Jan 9, 2026Updated 3 months ago
- Affine Term-Structure Models: Theory and Implementation☆14Apr 6, 2020Updated 6 years ago
- Monte Carlo simulation to option pricing in CUDA☆11Apr 29, 2017Updated 8 years ago
- Run Stable diffusion as API☆14Apr 9, 2023Updated 3 years ago
- Analysis of LSTM and Deep-Learning for machine-learning guided Bitcoin Trading.☆28Sep 20, 2020Updated 5 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Apr 18, 2020Updated 5 years ago
- Some basic libraries for Coq.☆14Sep 9, 2025Updated 7 months ago
- NordVPN Threat Protection Pro™ • AdTake your cybersecurity to the next level. Block phishing, malware, trackers, and ads. Lightweight app that works with all browsers.
- Python wrappers around QuantLib and Pandas to easily generate volatility surfaces☆19Jan 18, 2023Updated 3 years ago
- Multivariate Markov-Switching Models Regressions Framework☆13May 14, 2020Updated 5 years ago
- Implementation of ISDA SIMM v2.3~2.6☆29Mar 8, 2026Updated last month
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆13Jul 18, 2022Updated 3 years ago
- A Instagram bot to automatically post images after scraping them from Reddit.☆11May 31, 2018Updated 7 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆22Nov 14, 2020Updated 5 years ago
- Graphenee - Enterprise Application Development Framework☆16Apr 2, 2026Updated last week
- Classical simulator for Kuperberg's quantum collimation sieve, generalized to arbitrary finite cyclic groups and focused on CSIDH-512.☆14Jun 18, 2019Updated 6 years ago
- Harvardx: PH526x Using Python for Research, EdX☆14Oct 3, 2018Updated 7 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click and start building anything your business needs.
- My online courses on computation, numerical methods, and simulation☆12Sep 9, 2020Updated 5 years ago
- The BESSPIN Voting System. This system is used to demonstrate and red team SSITH secure CPUs.☆11May 26, 2021Updated 4 years ago
- Homework to Stephen Boyd's Convex Optimization class (CVX101 Stanford) with python and cvxpy☆12Dec 30, 2020Updated 5 years ago
- ☆15Aug 3, 2021Updated 4 years ago
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆12May 12, 2020Updated 5 years ago
- ☆15Apr 27, 2021Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆18Mar 27, 2026Updated 2 weeks ago