Vilen Abramov

Last seen: circa 3 anni fa | Attivo dal 2012

Followers: 0 Following: 0

Messaggio

Professional Interests: finance, model validation, market risk, pricing, derivatives, curve building, simulations

Inviato

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.

oltre 8 anni fa | 1 download |

5.0 / 5

Inviato

Hurst Exponent Estimation
The code uses R/S analysis to derive Hurst exponent for VaR adjustments.

oltre 8 anni fa | 2 download |

3.0 / 5

Inviato

Hull-White Tree (HW-94 Paper Replication)
In this script we replicate Hull White tree generation process from HW-94 paper.

oltre 8 anni fa | 1 download |

0.0 / 5

Inviato

FX Forward
This file replicates cross-currency forward pricing using covered interest parity (CIP)

quasi 14 anni fa | 1 download |

5.0 / 5

Inviato

Hazard Rate Bootstrapping
This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads.

quasi 14 anni fa | 1 download |

0.0 / 5