Ecosyste.ms: Repos
An open API service providing repository metadata for many open source software ecosystems.
GitHub topics: vasicek
AnthonyBradford/optionmatrix
Financial Derivatives Calculator with 168+ Models (Options Calculator)
Language: C++ - Size: 90.9 MB - Last synced: about 7 hours ago - Pushed: 4 months ago - Stars: 187 - Forks: 46
ahgperrin/PyCurve
PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic simulation.
Language: Python - Size: 13 MB - Last synced: 27 days ago - Pushed: almost 3 years ago - Stars: 27 - Forks: 4
mschauer/Bridge.jl
A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.
Language: Jupyter Notebook - Size: 10.2 MB - Last synced: 24 days ago - Pushed: over 2 years ago - Stars: 109 - Forks: 19
open-source-modelling/Light_Economic_Generator
Open-source stochastic economic scenario generator.
Language: HTML - Size: 480 KB - Last synced: about 2 months ago - Pushed: about 2 months ago - Stars: 3 - Forks: 0
edoberton/vasicek_assignment
Repo for extended vasicek assignment
Language: Jupyter Notebook - Size: 2.33 MB - Last synced: 3 months ago - Pushed: over 1 year ago - Stars: 0 - Forks: 1
open-source-modelling/Vasicek_one_factor_python
One factor Vasicek model in Python.
Language: Python - Size: 46.9 KB - Last synced: about 2 months ago - Pushed: 10 months ago - Stars: 6 - Forks: 2
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.
Language: Jupyter Notebook - Size: 17.8 MB - Last synced: 6 months ago - Pushed: about 3 years ago - Stars: 7 - Forks: 2
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
Language: Jupyter Notebook - Size: 404 KB - Last synced: 8 months ago - Pushed: 8 months ago - Stars: 0 - Forks: 0
bradleyboyuyang/Statistical-Arbitrage
High-frequency statistical arbitrage
Language: Jupyter Notebook - Size: 84.4 MB - Last synced: 10 months ago - Pushed: 10 months ago - Stars: 32 - Forks: 7
lcsrodriguez/CuttingEdge-Milliman
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
Language: Jupyter Notebook - Size: 22.6 MB - Last synced: 9 months ago - Pushed: 10 months ago - Stars: 2 - Forks: 0
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
Language: Go - Size: 268 KB - Last synced: 11 months ago - Pushed: about 1 year ago - Stars: 4 - Forks: 1
hjstobart/matlab-stochastic-processes
A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.
Language: MATLAB - Size: 38.1 KB - Last synced: about 1 year ago - Pushed: about 2 years ago - Stars: 0 - Forks: 0
