Tutorial about Dynamic-Nelson-Siegel-Svensson-Kalman-Filter Package

A minimalist and modern Beamer theme

This Python function dm_test implements the Diebold-Mariano Test (1995) to statistically test forecast accuracy equivalence for 2 sets of predictions with modification suggested by Harvey et. al (1…

some interest rate models such as Vasicek and dynamic Nelson-Siegel model

This project involves using a combination of statistics along with financial thoery to demonstrate a popular trading strategy used in equity markets: Pairs Trading.

Hull-White 1/2 Factor Dynamics

Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore modern methods to price and calibrate such models and evaluate th…

Portfolio optimization using Genetic algorithm.