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1. abskanala-sabr-calibration abskanala-sabr-calibration Public

   This project implements the SABR (Stochastic Alpha, Beta, Rho) model calibration using market swaption implied volatilities.

   Jupyter Notebook 2

2. HJM-Framework-calibration HJM-Framework-calibration Public

   In this project, we use Python to implement the Heath-Jarrow-Morton (HJM) framework for modeling the evolution of forward interest rates. We begin by preprocessing historical interest rate data and…

   Jupyter Notebook

3. hull_white_calibration_swaption hull_white_calibration_swaption Public

   In this project, we aim to calibrate the Hull-White one-factor model using market data, specifically focusing on Black-implied swaption volatilities. This process involves estimating the model's pa…

   Jupyter Notebook 1

4. Exotic-option-pricing Exotic-option-pricing Public

   This document explains a Monte Carlo-based option pricing model, focusing on both standard and exotic options like Asian and lookback options. The simulation models the underlying asset's price usi…

5. Hull-white-with-Trinomial Hull-white-with-Trinomial Public

   This project aims to implement hull white model using trinominal Tree

   Jupyter Notebook

6. Yiel-curve-construction-pseudo-inverse Yiel-curve-construction-pseudo-inverse Public

   The problem we aim to solve involves determining the discount curve for the UK government bond (gilt) market on 4 September 1996 using Yiel curve construction pseudo inverse

   Jupyter Notebook