Topic: "cir-model"
jerryxyx/MonteCarlo
A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
Language: Jupyter Notebook - Size: 2.11 MB - Last synced at: about 2 months ago - Pushed at: about 6 years ago - Stars: 107 - Forks: 52
caramel2001/Financial-Derivative-Analysis-and-Simulation
Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)
Language: Jupyter Notebook - Size: 18.3 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 17 - Forks: 3
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 at: over 1 year ago - Pushed at: almost 2 years ago - Stars: 2 - Forks: 0
vaishnu7/computational_fluid_dynamics_assignment
CIR-Scheme and Lax-Wendroff Scheme Applications
Language: MATLAB - Size: 24.4 KB - Last synced at: over 1 year ago - Pushed at: over 3 years ago - Stars: 1 - Forks: 0
xixi0222/Zero-Coupon-Bond-Pricing-by-Monte-Carlo-Simulation
I simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.
Language: Python - Size: 210 KB - Last synced at: about 2 years ago - Pushed at: over 5 years ago - Stars: 1 - Forks: 1
