Repo for extended vasicek assignment

Implementation of common interest rate models and their extensions.

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

Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)

Open-source stochastic economic scenario generator.

A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.

One factor Vasicek model in Python.

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.

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

Interest-rate modeling and Fixed Income Pricing in Python

PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic simulation.

A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.

High-frequency statistical arbitrage

Financial Derivatives Calculator with 168+ Models (Options Calculator)