Mister Amateur (raccoonpesfifa)

raccoonpesfifa

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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.

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mlfactor.github.io

Website dedicated to a book on machine learning for factor investing

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Python

All Algorithms implemented in Python

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PyPortfolioOpt

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

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Riskfolio-Lib

Portfolio Optimization and Quantitative Strategic Asset Allocation in Python

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Adv_Fin_ML_Exercises

Experimental solutions to selected exercises from the book [Advances in Financial Machine Learning by Marcos Lopez De Prado]

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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

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public

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

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PROJ_Option_Pricing_Matlab

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

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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

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book_irds3

Code repository for Pricing and Trading Interest Rate Derivatives

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Python-GUI-Programming-with-Tkinter-2E

Python GUI Programming with Tkinter 2E.Published by Packt

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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

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pyBlackScholesAnalytics

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

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Papers

Quant Research Papers

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QuantitativeFinance

Delta-Gamma Hedging and Implied Volatility Surfaces

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lvvd

Listed Volatility and Variance Derivatives (Wiley Finance)

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Computational-Finance-Course

Here you will find materials for the course of Computational Finance

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Financial-Models-Numerical-Methods

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

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raccoonpesfifa

Config files for my GitHub profile.

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adv-financial-ml-marcos-exercises

Exercises of the book: Advances in Financial Machine Learning by Marcos Lopez de Prado

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Fifa21-Autobidder

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

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QuantFinanceBook

Quantitative Finance book

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Vol-surface-parametrisation

Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations

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research

Notebooks based on financial machine learning.

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MTH9875-Volatility-Surface

Baruch MFE 2019 Fall

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SSVI

Surface SVI parameterisation and corresponding local volatility

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