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  1. Multifactor-Model-and-Portfolio-Optimazation Multifactor-Model-and-Portfolio-Optimazation Public

    Construct multi-factor model and build Markowitz portfolio, Black-Litterman portfolio and improve by appling ED algorithm to solve LME model

    Jupyter Notebook 7 1

  2. Term-Structure-for-future-rates Term-Structure-for-future-rates Public

    Use 2 factor Vasicek model to carry out the estimation with the constant-maturity Eurodollars

    Jupyter Notebook 3 3

  3. Var-Red-Tech Var-Red-Tech Public

    Implicit Euler Scheme for CIR Model and Variance Reduction Techniques

    MATLAB 1

  4. PCA-CCA-analysis PCA-CCA-analysis Public

    Perform PCA and CCA analysis on US treasury yield

    Jupyter Notebook 1

  5. Pair-Trading Pair-Trading Public

    Pair Trading in Fixed Income Market

    Jupyter Notebook 1 2

  6. Time-Series---China-Call-Time Time-Series---China-Call-Time Public

    Jupyter Notebook 1