jren-jane/accumulator-option-pricing

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Language
C++
Created almost 4 years ago
Updated over 2 years ago

jren-jane/accumulator-option-pricing

jren-jane

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Pricing of an accumulator option using Monte Carlo simulation (by Python and C++) and analytical approximiation (by MATLAB)

var-rnn-lstm-for-multivariate-time-series-multistep-forecasting

Make multistep forecast based on multivariate time series, using VAR, RNN and LSTM models.

Jupyter Notebook

Hansen-RBC-with-VFI

Hansen's RBC model, with value function iteration

vector-autoregression-estimation-and-tests

Estimation, break-point test and sample-split test for vector-autoregression models coded in Matlab, with bootstrap values and Monte-carlo simulations