Vilen Abramov
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Submitted
Visualization Of Terminal Correlation in Short Rate Models
In this script we will produce a number of visuals for the simulated rates when using HW model.
mer än 7 år ago | 1 download |
Submitted
Hurst Exponent Estimation
The code uses R/S analysis to derive Hurst exponent for VaR adjustments.
mer än 7 år ago | 2 downloads |
Submitted
Hull-White Tree (HW-94 Paper Replication)
In this script we replicate Hull White tree generation process from HW-94 paper.
mer än 7 år ago | 1 download |
Submitted
FX Forward
This file replicates cross-currency forward pricing using covered interest parity (CIP)
ungefär 13 år ago | 1 download |
Submitted
Hazard Rate Bootstrapping
This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads.
ungefär 13 år ago | 1 download |
