├── Black-Scholes Pricing and Greeks ├── Black-Scholes DGV.ipynb ├── Black-Scholes Pricing and Delta.ipynb ├── __Read Me └── option_pricer.py ├── FRTB ├── FRTB - IMA PnL Attribution Test.ipynb ├── FRTB IMA Backtesting.ipynb ├── FRTB Read Me.txt └── FRTB Risk Factor Eligibility Test.ipynb ├── Fixed Income └── Readme.txt ├── Interest Rate ├── Estimating Bond Yield.ipynb ├── Forward rates.ipynb ├── IR curve - Zero rates bootstrap method.ipynb └── Interest Rate projects ├── Monte Carlo simulation ├── Binary call pricing with Monte Carlo (1st approach).ipynb ├── Binary call pricing with Monte Carlo (vectorization).ipynb └── __Read Me - MC simulations ├── P&L VaR ES ├── P&L with DGV approximation.ipynb └── __Read Me └── _README.md /Black-Scholes Pricing and Greeks/Black-Scholes DGV.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Black-Scholes Pricing and Greeks/Black-Scholes DGV.ipynb -------------------------------------------------------------------------------- /Black-Scholes Pricing and Greeks/Black-Scholes Pricing and Delta.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Black-Scholes Pricing and Greeks/Black-Scholes Pricing and Delta.ipynb -------------------------------------------------------------------------------- /Black-Scholes Pricing and Greeks/__Read Me: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Black-Scholes Pricing and Greeks/__Read Me -------------------------------------------------------------------------------- /Black-Scholes Pricing and Greeks/option_pricer.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Black-Scholes Pricing and Greeks/option_pricer.py -------------------------------------------------------------------------------- /FRTB/FRTB - 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Zero rates bootstrap method.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Interest Rate/IR curve - Zero rates bootstrap method.ipynb -------------------------------------------------------------------------------- /Interest Rate/Interest Rate projects: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Interest Rate/Interest Rate projects -------------------------------------------------------------------------------- /Monte Carlo simulation/Binary call pricing with Monte Carlo (1st approach).ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Monte Carlo simulation/Binary call pricing with Monte Carlo (1st approach).ipynb -------------------------------------------------------------------------------- /Monte Carlo simulation/Binary call pricing with Monte Carlo (vectorization).ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Monte Carlo simulation/Binary call pricing with Monte Carlo (vectorization).ipynb -------------------------------------------------------------------------------- /Monte Carlo simulation/__Read Me - MC simulations: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/Monte Carlo simulation/__Read Me - MC simulations -------------------------------------------------------------------------------- /P&L VaR ES/P&L with DGV approximation.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/P&L VaR ES/P&L with DGV approximation.ipynb -------------------------------------------------------------------------------- /P&L VaR ES/__Read Me: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/P&L VaR ES/__Read Me -------------------------------------------------------------------------------- /_README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/mtouyaa/Python-for-MarketRisk/HEAD/_README.md --------------------------------------------------------------------------------