Discover @omartinsky Open Source projects

Ondrej Martinsky (@omartinsky)

omartinsky

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Global Rank 86,489 (Top 3 %)
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Registered over 8 years ago
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Jupyter Notebook
85.7 %

C++
14.3 %
Location 🇭🇰 Hong Kong
Country Total Rank 277
Country Ranking

Jupyter Notebook
10

C++
280

QuantAndFinancial

This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com

Jupyter Notebook

FamaFrench

Implementation of 5-factor Fama French Model

Jupyter Notebook

PYBOR

PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python

Jupyter Notebook

BlackLitterman

Implementation of the famous Black-Litterman model in Jupyter notebook

Jupyter Notebook

AmericanMonteCarlo

Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise features.

Jupyter Notebook

HJM

Heath–Jarrow–Morton model

Jupyter Notebook

AutomaticDifferentiation

Demo project to illustrate principles and benefits of automatic differentiation in quantitative finance