Mister Amateur's repositories
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.
mlfactor.github.io
Website dedicated to a book on machine learning for factor investing
Python
All Algorithms implemented in Python
PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
Riskfolio-Lib
Portfolio Optimization and Quantitative Strategic Asset Allocation in Python
Adv_Fin_ML_Exercises
Experimental solutions to selected exercises from the book [Advances in Financial Machine Learning by Marcos Lopez De Prado]
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
public
Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)
PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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
book_irds3
Code repository for Pricing and Trading Interest Rate Derivatives
Python-GUI-Programming-with-Tkinter-2E
Python GUI Programming with Tkinter 2E.Published by Packt
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
pyBlackScholesAnalytics
Options and Option Strategies analytics for educational purpose using the Black-Scholes Model
Papers
Quant Research Papers
QuantitativeFinance
Delta-Gamma Hedging and Implied Volatility Surfaces
lvvd
Listed Volatility and Variance Derivatives (Wiley Finance)
Computational-Finance-Course
Here you will find materials for the course of Computational Finance
Financial-Models-Numerical-Methods
Collection of notebooks about quantitative finance, with interactive python code.
raccoonpesfifa
Config files for my GitHub profile.
adv-financial-ml-marcos-exercises
Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado
Fifa21-Autobidder
Selenium-based bot that autobids and autobuys players on FIFA 21 Ultimate Team's transfer market
QuantFinanceBook
Quantitative Finance book
Vol-surface-parametrisation
Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations
research
Notebooks based on financial machine learning.
MTH9875-Volatility-Surface
Baruch MFE 2019 Fall
SSVI
Surface SVI parameterisation and corresponding local volatility