Discover @omartinsky Open Source projects

Ondrej Martinsky (@omartinsky)

omartinsky

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Global Rank 83,703 (Top 3 %)
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Registered about 8 years ago
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Jupyter Notebook
85.7 %

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14.3 %
Location 🇭🇰 Hong Kong
Country Total Rank 277
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Jupyter Notebook
11

C++
275

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

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PYBOR

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

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BlackLitterman

Implementation of the famous Black-Litterman model in Jupyter notebook

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AmericanMonteCarlo

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

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HJM

Heath–Jarrow–Morton model

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AutomaticDifferentiation

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