Vilen Abramov

Last seen: 10 months ago | Active since 2012

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Professional Interests: finance, model validation, market risk, pricing, derivatives, curve building, simulations

Submitted

Visualization Of Terminal Correlation in Short Rate Models
In this script we will produce a number of visuals for the simulated rates when using HW model.

6 years ago | 1 download |

Submitted

Hurst Exponent Estimation
The code uses R/S analysis to derive Hurst exponent for VaR adjustments.

6 years ago | 6 downloads |

Submitted

Hull-White Tree (HW-94 Paper Replication)
In this script we replicate Hull White tree generation process from HW-94 paper.

6 years ago | 2 downloads |

Submitted

FX Forward
This file replicates cross-currency forward pricing using covered interest parity (CIP)

11 years ago | 3 downloads |

Submitted

Hazard Rate Bootstrapping
This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads.

11 years ago | 1 download |

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