Simple implementation of the one factor Hull-White model of short rates.
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Mar 24, 2024 - Python
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short-rates
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Mathematical derivation for properties of the Hull White short rate model.
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Jul 22, 2023 - Jupyter Notebook
The abstract Heath-Jarrow-Morton model: Calibration and forecasting the US daily Treasury yield curve rates
time-series-analysis
time-series-forecasting
term-structure-models
financial-data-analysis
vasicek-model
short-rates
heath-jarrow-morton
us-treasuries
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Nov 28, 2020 - MATLAB
TimeGAN model for simulation of European short rates. MSc Thesis Quantitative Finance at Erasmus University Rotterdam
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Oct 28, 2020 - Python
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