American Option pricing with Binomial Tree (Python)
In the following part, I priced a Plain-vanilla American option using binomial tree (CRR tree and JR tree). And also showcase that both...
Option Pricing with Black-Scholes Model & Monte-Carlo method in C++
The Black–Scholes or Black–Scholes–Merton model is a mathematical model of a financial market containing derivative investment...
Monte Carlo Pricing Method of European Call (Python)
Assuming the underlying stock follows the geometric Brownian process, with some easy Ito calculus, we can actually produce perfect Monte...
Take a look at CIR model// Nelson_Siegel Model calibration
******************************************************************************************** import numpy as np from scipy.stats import...
Optimization Algorithms using Python (Scipy/numpy) (Part II)
In this part, I am going to introduce some basic opimization method via scipy.optimization library. Let us take Rosenbrock fucntion as...
Basic Statistical Analysis and Optimization in Python (Scipy/numpy) (Part I)
In the first part, I am going to talk about some basic statistics usage of Python and in the following part I will try to use various...
Black-Litterman Portfolio Optimization in C++
Different from the Mean-Variance method I used before, the Black-Litterman method allows investors to optimize their portfolio...
Text analysis demonstration in Python
Today I am going to do some interesting text sentimental analysis using python, the tools I need is provided by package Graphlab. What I...
Limit Order book Mgmt System in C++ !
In modern financial markets, market makers (dealers) are agents who stand ready to buy and sell securities. Market makers are...
Implementing Mean Variance portfolio optimization method with C++
In the last post, I constructed the matrix computation class, which is the main tool that I gonna use in portfolio optimization. First,...
