Investigate how mutual funds leverage credit derivatives by studying their routine filings to the SEC using NLP techniques 📈🤑
An Algo that Calibrates Base Correlation for CDO Tranches in Two Iteration to Machine Precision
An Investigation into Price Surfaces for Credit Derivatives and the 2008 Credit Crisis - MSc Finance (Credit, 90%), University of London
Study notes and notebooks for OTC derivatives pricing, Monte Carlo, FDM, volatility surface, IR and credit derivatives.
Fixed Income Practice and Theory — a 52-chapter practitioner book on rates and credit: curves, DV01, swaps, CDS, tranches, XVA
Interest-Rate, FX & Multi-Asset Swap Pricing Platform: 13 pricers across 6 asset classes (rates, FX, inflation, equity, credit, commodities) on real curve data, with a Streamlit interface.
Bond pricing, FRA, interest rate swaps and CDS pricing framework - payer/receiver swaps, premium/protection legs, MTM P&L. Built in Python.
Pricing framework for CDS written on convertible bonds using credit intensity modeling and Least-Squares Monte Carlo.
ISDA-based Single-name CDS Pricer: hazard-curve bootstrap, par spread, upfront/cash settlement, & CS01.
BGC Group, Inc. (NASDAQ: BGC), formerly BGC Partners, is a global brokerage and financial technology firm. Headquartered in New York and London, BGC operates electronic and voice broking across foreign exchange, interest rate derivatives, fixed income, energy and commodities, equity derivatives, credit, and futures.
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