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  1. Vasicek_CIR_HoLee_HullWhite_Models_Python Vasicek_CIR_HoLee_HullWhite_Models_Python Public

    Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes

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    Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option

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  3. Fitting_and_Simulating_Archimedean_Copulas Fitting_and_Simulating_Archimedean_Copulas Public

    Fitting and Simulating Archimedean Gumbel, Clayton and Frank Copulas

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  4. NelsonSiegelSvensson NelsonSiegelSvensson Public

    The Nelson-Siegel and its extension Nelson-Siegel-Svensson are two of the most popular yield curve models They are very useful when we do not have nicely spaced bond quotes data to build the discou…

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  5. PythonNumericalMethods PythonNumericalMethods Public

    Python Notebooks to solve integrals, derivatives, zero of a function, linear and non-linear systems, optimization, non linear fitting, interpolation and splines

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  6. Credit-Risk-Anaytics-The-R-Companion Credit-Risk-Anaytics-The-R-Companion Public

    The rep contains the R files from Credit Risk Analytics: the R Companion, from H Scheule, D Rosch an B Baesens. Unfortunately, when I bought the book, I could not find the R files accompanying the …

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