Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.

Financial Models using vba script and Python

Analytics labs notebooks for Statistics and Business School students

CLI bond calculator that computes bond YTM, price, duration, and convexity.

Collection of projects oriented around the computational finance domain.

Python class and jupyter iPython notebook for pricing a fixed coupon bond

FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.

Computation of bond value

Finance R program - bond pricing, option pricing, and others

Bonds calculator for MOEX

Structured Finance Cashflow Engine

Bayesian estimation of no-arbitrage affine term structure models in Julia

🚨 A web application that notifies you about Brazilian treasury bond rates.

Artificial Neural Network - Corporate Investment Grade Bond Rating

World Embedding: a daily 64-dim representation of the aggregate economic state (1985-2021). Drop-in state vector for asset pricing, macro forecasting, regime detection, and event studies.

Calculates Bond Valuations

Options and derivative terminal | Modern Bonds Search Engine.

This program calculates the price of European double-barrier knock-out calls by the use of binomial trees and Monte Carlo Simulations.

This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).

Exercises for Zazove Associates interview process. Option-free coupon bond pricing using discounted cash flow model and European stock pricing using binomial model.