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baruchadvancedcpp

Code developed for the Advanced C++ and Modern Design Online Certificate taken with Baruch MFE program and taught by Dr. Daniel Duffy from QuantNet

book_irds3

Code repository for Pricing and Trading Interest Rate Derivatives

computational-finance-course

Here you will find materials for the course of Computational Finance

elitequant

A list of online resources for quantitative modeling, trading, portfolio management

fifa21-autobidder

Selenium-based bot that autobids and autobuys players on FIFA 21 Ultimate Team's transfer market

financial-models-numerical-methods

Collection of notebooks about quantitative finance, with interactive python code.

financialengineering_ir_xva

finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

fixed_income_quant_trading

NYU FRE-GY 6971 Fixed Income Quant Trading

hands-on-machine-learning-for-algorithmic-trading

Notebooks, resources and references accompanying the book Machine Learning for Algorithmic Trading

hjm

The Heath-Jarrow-Morton Model (HJM Model) is used to model forward interest rates using a differential equation that allows for randomness. I explained the assumptions of HJM model, then demonstrated how to calibrate and use it for security pricing in Python. https://youtu.be/tB_O2UccDyQ

lvvd

Listed Volatility and Variance Derivatives (Wiley Finance)

mlfbook

mth9875-volatility-surface

Baruch MFE 2019 Fall

mth9875_volatility_surface

This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface

papers

Quant Research Papers

proj_option_pricing_matlab

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

public

Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)

pyblackscholesanalytics

Options and Option Strategies analytics for educational purpose using the Black-Scholes Model

pyportfolioopt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

python

All Algorithms implemented in Python

python-gui-programming-with-tkinter-2e

Python GUI Programming with Tkinter 2E.Published by Packt

quantfinancebook

Quantitative Finance book

quantitativefinance

Delta-Gamma Hedging and Implied Volatility Surfaces

raccoonpesfifa

Config files for my GitHub profile.

rateslib

A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.

riskfolio-lib

Portfolio Optimization and Quantitative Strategic Asset Allocation in Python

sabr

In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. I explained the formula of SABR model, then demonstrated how to calibrate SABR model in Python. You are welcome to provide your comments and subscribe to my YouTube channel. https://youtu.be/NWcRD2gOlhA

ssvi

Surface SVI parameterisation and corresponding local volatility

the_volatility_surface