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eazyds's Projects

book_irds3 icon book_irds3

Code repository for Pricing and Trading Interest Rate Derivatives

cmsspreadpricing icon cmsspreadpricing

Set of functions directed to compute Constant Maturity Swaps convexity adjustments and CMS Spread Options prices

effectivemarkovianprojection icon effectivemarkovianprojection

Code for the paper "Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions", Felpel, Kienitz, McWalter

financepy icon financepy

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

fourier-lab icon fourier-lab

Code for master thesis about application of FFT technique in Spread option valuation field (based on papers from Hurd Zhou and Dempster Hong)

ifrs17 icon ifrs17

IFRS17 - Projects - Lifelib, Formulas, Simulations, Anaconda, Jupyter Notebook.

ipythonscripts icon ipythonscripts

Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Learning

leecarter icon leecarter

Replication material for: Deterministic and stochastic trends in the Lee-Carter mortality model

papers icon papers

My Quant Research Papers (incl. Coding & Excel Examples)

simbel icon simbel

Un modele de simulation Monte-Carlo s'appuyant sur une projection d'un canton (actif et passif) permettant l'evaluation des provisions best estimate d'un contrat d'epargne francais en euros. Plusieurs chocs de la formule standard peuvent etre effectues.

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