vasicek
There are 14 repositories under vasicek topic.
AnthonyBradford/optionmatrix
Financial Derivatives Calculator with 171+ Models (Options Calculator)
bradleyboyuyang/Statistical-Arbitrage
High-frequency statistical arbitrage
mschauer/Bridge.jl
A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.
ahgperrin/PyCurve
PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic simulation.
harshhacks/quantparadise
Interest-rate modeling and Fixed Income Pricing in Python
open-source-modelling/Vasicek_one_factor_python
One factor Vasicek model in Python.
konimarti/fixedincome
Fixed income valuation with term structure models and Monte Carlo simulations: Pricing straight, floating and callable bonds, swaps, swaptions, forward rate agreements, and more exotic securities such as inverse or range floaters
upathare1/Advanced-Term-Structures
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.
hjstobart/matlab-stochastic-processes
A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.
lcsrodriguez/CuttingEdge-Milliman
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
open-source-modelling/Light_Economic_Generator
Open-source stochastic economic scenario generator.
anshhagrawal/Interest-Rate-Models
In this jupyter notebook an attempt was made to predict interest rate movements by Monte Carlo Simulations using the Vasicek, Cox-Ingerson-Ross, and Hull & White Model
colalb1/Interest-Rate-Forecasting
Implementation of common interest rate models and their extensions.
edoberton/vasicek_assignment
Repo for extended vasicek assignment