This is the storage folder of code files for my Masters Thesis named "Corporate Bond Defaults: Models and Simulations".

In this repository you can find some Python scripts.

This program calculates the price of a x-year American-style (put or call) option on a zero-coupon bond that matures at year y with a par value of 1 dollar.

Perpetual Swap Funding calendar generator

Financial derivatives analysis

CLI for interacting with Ethereum fincontracts

C++ parser for ASX 24 ITCH messages

Trend trading model in the financial market using machine learning algorithms. The machine learning algorithm predicts the result of the transaction of the base trading model and predicts the price of the next timeframe.

Implied volatility of options

Simple library for calculation of options value and greeks using the Black-Scholes model

SABR Implied volatility asymptotics

Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

IEX Cloud API for C# and other .net languages. Supports SSE streaming

All things #DeFi - trustless and transparent financial products built on top of the blockchain.