Vilen Abramov

Last seen: mehr als 2 Jahre vor | Aktiv seit 2012

Followers: 0 Following: 0

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

Gesendet

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.

fast 8 Jahre vor | 1 Download |

5.0 / 5

Gesendet

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

fast 8 Jahre vor | 3 Downloads |

3.0 / 5

Gesendet

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

fast 8 Jahre vor | 1 Download |

0.0 / 5

Gesendet

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

mehr als 13 Jahre vor | 1 Download |

5.0 / 5

Gesendet

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

mehr als 13 Jahre vor | 1 Download |

0.0 / 5