atefehm91

atefehm91's Stars

• dcajasn/Riskfolio-Lib

  Portfolio Optimization and Quantitative Strategic Asset Allocation in Python

  Language:C++2.9k78131501

• QuantEcon/QuantEcon.py

  A community based Python library for quantitative economics

  Language:Python1.9k1512862.3k

• dpicone1/Vasicek_CIR_HoLee_HullWhite_Models_Python

  Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes

  Language:Jupyter Notebook432120

• WarrenWeckesser/odeintw

  odeintw provides a wrapper of scipy.integrate.odeint that allows it to handle complex and matrix differential equations.

  Language:Python395812

• blckswmngbrd/PyPortfolioOptimizationNotebooks

  Python Jupyter Notebooks for Financial Portfolio Optimization

  Language:Jupyter Notebook303010

• Imlerith/Jump-Diffusion-Calibrator

  Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)

  Language:Jupyter Notebook303011

• CianODuffy/LiborMarketModel

  Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european swaption implied volatilities.

  Language:Python1412

• harshhacks/quantparadise

  Interest-rate modeling and Fixed Income Pricing in Python

  Language:Jupyter Notebook10144

• daniel-fudge/Heston-Option-Pricing

  Monte Carlo pricing of the Heston model for stochastic volatility

  Language:Python9302

• aarwitz/PortfolioOptimizer

  Portfolio optimization in Python

  Language:Python74

• elyazidassade/cir_vasicek_models

  Short term interest rates forecast - Vasicek and CIR models

  Language:Jupyter Notebook72

• Roach1994/Heston-Model-Analytical-and-Simulation

  Heston Model Analytical answers and 4 different Simulation schemes

  Language:Python7200

• Royz2123/Heston-Model

  Research work on Implied volatility of Stock Prices

  Language:Jupyter Notebook6201

• davidtchouta/Financial-Modelling

  Some Python and VBA codes for options and bonds valuation : 1) Binomial method of options valuation 2) Black and Scholes method options valuation 3) Black and Scholes method greeks valuation 4) Monte Carlo method options valuation (Antithetical method and pure random) 5) Monte Carlo method options greeks valuation 6) Bond valuation 7) Implied Volatility 8) VaR / CVaR valuation

  Language:Python4402

• MarioTawfelis/Heston-Stochastic-Volatility-Model

  A MATLAB implementation of the Heston Stochastic Volatility Model. The model is used to price options using Monte Carlo and numerical methods to integrate the characteristic function.

  Language:MATLAB31

• ShawnJie/Term-Structure-for-future-rates

  Use 2 factor Vasicek model to carry out the estimation with the constant-maturity Eurodollars

  Language:Jupyter Notebook33

• SmilingMountain/monte_carlo_simulation_imf

  A Monte Carlo simulation of a stellar cluster based on the stellar mass probability distribution at birth, called the Initial Mass Function (IMF)

  Language:Python3

• acamalvarez/ODEsPython

  This is a code for learning how to solve a system of ordinary differential equations in python

  Language:Python2

• aparkerlue/two_factor_vasicek_model

  Two-factor Vasicek model.

  2200

• barsand/buildcdf

  Python package to generate input data for Cumulative Distribution Function (CDF) graphs plotted by tools such as Matplotlib.

  Language:Python2

• HXT0009/Swaption-Calibration-using-Quantlib-C-

  Swaption Calibration using QuantLib-C++ with the consideration of the interest rate models (G2+HullWhite)

  Language:C++2

• KSpenko/ODEmethods

  Methods for solving systems of ordinary differential equations in the case of initial value problems (ODE-IVP).

  Language:Python2102

• Dari-Khanda/Vasicek_Model

  Financial projects

  Language:Jupyter Notebook1100

• feliksce/pdf_powerlaw

  Raw code for plotting pdf, cdf and ccdf of QD on and off times

  Language:Python1

• huangxjia/VasicekModel

  Language:Python1

• huangzz119/VasicekModeling

  Language:Python10

• lia-ko/cir-vasicek-model-estimates

  Language:Python12

• Molin-L/Vasicek

  Vasicek Model

  Language:Jupyter Notebook10

• naveensaigit/RationalRiccatiSolver

  An ODE solver which gives all rational solutions to Riccati Equations

  Language:Python1200

• QuantStats/VasicekModel

  Language:Python1