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updated 2 years ago

Hurst Exponent Estimation by Vilen Abramov

the code uses R/S analysis to derive Hurst exponent (hurst, finance, var)

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updated 2 years ago

FX Forward by Vilen Abramov

This file replicates cross-currency forward pricing using covered interest parity (CIP) (forex, forward, exchange rate)

fxforward

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updated 2 years ago

Hazard Rate Bootstrapping by Vilen Abramov

This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. (cds, bootstrapping, pricing)

hazard

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