Pinned Repositories
advancing-into-analytics-book
Resources for _Advancing into Analytics: From Excel to R and Python_ by George Mount (O'Reilly Media, 2021)
Black-Litterman
Black-Litterman model is an asset allocation model that was first developed in 1990 at Goldman Sachs by Fischer Black and Robert Litterman after whom it was named. It was an attempt to modify the existing framework for asset allocation that was established by Harry Markowitz, known as the Mean-Variance Analysis or Modern portfolio theory. The key improvement that Black-Litterman model provides is that it addresses the views of the portfolio manager about the portfolio providing an additional qualitative input that adjusts the expected returns. The contribution to expected return of each of the portfolio asset about which a view is expressed is balanced against its contribution to overall portfolio risk.
Bond-Pricing
Models for Fixed Income instruments pricing
BQL-api-for-Python
Contains the BQL function callable directly from Python. It needs the Excel add-in for Bloomberg
CAPM-credit
Mean-variance optimization on a bond portfolio
corp-bond-strategy
Credit-Default-Swaps
A series of applications for pricing CDSs
Data-Visualization
Data Visualization with Python
Financials
Financial statements analysis with data sourced from finance.yahoo.com. Needs Premium access to finance.yahoo.com.
Fixed-Income---Interest-Rate-Model-Option-Embeded-Bond-Pricing
ericlegoaec's Repositories
ericlegoaec/pythonwebscraping
In this workshop, we will be learning how to use Python and LXML to scrape stock market data from publicly available websites. This is a great way to combine a commonly used technique in computer science and data science while also learning about some key metrics in finance. We will also be using financial APIs to compare current data with historical data and adding other features such as email integration!
ericlegoaec/NLP_Kickstarter
Topic Modeling and Latent Dirichlet Allocation for risk and challenges in Kickstarter
ericlegoaec/Term-Structure-Lattice-Models
Binomial lattice models of the short-rate; pricing fixed income derivative securities including zero-coupon bonds, options on bonds, bond forwards, bond futures, swaps and swaptions; pricing some derivative via elementary prices by using the forward equation.
ericlegoaec/deep_rough_calibration
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
ericlegoaec/TVO_pricing_fSABR
Target volatility option pricing in the lognormal fractional SABR model
ericlegoaec/marketwatch_scraping
Scraping financial data of stocks on MarketWatch
ericlegoaec/CAPM-credit
Mean-variance optimization on a bond portfolio
ericlegoaec/risk_parity
ericlegoaec/blpapi-python
Bloomberg Python API
ericlegoaec/Term-Structure-for-future-rates
Use 2 factor Vasicek model to carry out the estimation with the constant-maturity Eurodollars
ericlegoaec/ZeroYieldCurve
ericlegoaec/Stock-Option-Pricing
Bloomberg API based S&P500 extraction on R. Maximum Likelihood parameter estimation of Double Exponential Jump Diffusion Model (DEJD). European option pricing using DEJD model.
ericlegoaec/Credit-Default-Swaps
A series of applications for pricing CDSs
ericlegoaec/finance
ericlegoaec/Principle-Component-Analysis
Principle Component Analysis
ericlegoaec/Fixed-Income---Interest-Rate-Model-Option-Embeded-Bond-Pricing
ericlegoaec/Financial-Risk-Management
Python class calculating VaR and Monte Carlo Simulation
ericlegoaec/Bond-Pricing
Models for Fixed Income instruments pricing
ericlegoaec/gaussian-copula-model
Simulation stochastique simple de variables dépendantes avec copule gaussienne
ericlegoaec/Yield-Curve-Trading
ericlegoaec/Python-for-Finance-1
Code along with the course 'Python for Financial Analysis and Algorithmic Trading' on Udemy
ericlegoaec/interesting-rates
Economic models and things in Pytorch
ericlegoaec/pybbg
Bloomberg Open API with pandas
ericlegoaec/SABRmodel_Base
Base repository for the homework on SABR model option pricing with Monte-Carlo method and Kennedy method
ericlegoaec/Risk_Budgeting
Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation
ericlegoaec/python-for-finance
:moneybag: Stock analysis using Python / Jupyter / Pandas
ericlegoaec/NelsonSiegelSvensson
ericlegoaec/Derivative-Analytics-with-Python-Yves-Hilpisch
Codes given in "Derivative Analytics with Python - Yves Hilpisch" Book
ericlegoaec/SABR_local_vol
Construction of local volatility surface by using SABR
ericlegoaec/arbit-codes
Location for codes without a home