Vilen Abramov
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Professional Interests: finance, model validation, market risk, pricing, derivatives, curve building, simulations
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Feeds
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.
circa 6 anni fa | 1 download |
Inviato
Hurst Exponent Estimation
The code uses R/S analysis to derive Hurst exponent for VaR adjustments.
circa 6 anni fa | 7 download |
Inviato
Hull-White Tree (HW-94 Paper Replication)
In this script we replicate Hull White tree generation process from HW-94 paper.
circa 6 anni fa | 2 download |
Inviato
FX Forward
This file replicates cross-currency forward pricing using covered interest parity (CIP)
oltre 11 anni fa | 3 download |
Inviato
Hazard Rate Bootstrapping
This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads.
oltre 11 anni fa | 1 download |