Community Profile

photo

Vilen Abramov


BB&T

3 total contributions since 2012

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

Contact

Contributions in
View by

Submitted


Hurst Exponent Estimation
the code uses R/S analysis to derive Hurst exponent

4 years ago | 23 downloads |

Thumbnail

Submitted


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

4 years ago | 4 downloads |

Thumbnail

Submitted


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

4 years ago | 1 downloads |

Thumbnail