cir-model

There are 0 repository under cir-model topic.

jerryxyx / MonteCarlo
A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
monte-carlo hedge optimization variance-reduction option-pricing heston-model cir-model control-varates
Language:Jupyter Notebook 96
caramel2001 / Financial-Derivative-Analysis-and-Simulation
Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)
cir-model derivatives-pricing heston-stochastic-volatility monte-carlo-simulation python variance-reduction local-volatility-model implied-volatility geometric-brownian-motion cox-ingersoll-ross numpy mh4518 simulation-techniques-in-finance mh4518-ntu simulation-modeling gbm
Language:Jupyter Notebook 20
lcsrodriguez / CuttingEdge-Milliman
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
black-scholes cir-model cox-ingersoll-ross equity-index hull-white interest-rates simulation vasicek derivatives-pricing european-options heston computational-finance quantitative-finance
Language:Jupyter Notebook 4
vaishnu7 / computational_fluid_dynamics_assignment
CIR-Scheme and Lax-Wendroff Scheme Applications
cir-model lax-wendroff fluid-dynamics
Language:MATLAB 1
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.
bond-pricing cir-model monte-carlo-simulation
Language:Python 1