Classical models implemented from a Markov operator's perspective
Arbitrage-free Dynamic Generalized Nelson-Siegel model of interest rates following Christensen, Diebold and Rudebusch; and its estimation using the Kalman filter / maximum likelihood.
Analysis of Russian bonds
The project fits the Nelson-Siegel or Svensson curve to sovereign bond data (Real & Nominal) for various countries.
Dynamic Term Structure Modeling & Arbitrage-Free Interest Rate Simulation: A research-level fixed income quant project implementing a full interest rate modeling pipeline from raw Treasury data to derivative pricing and risk analysis.
Estimating the Nelson Siegel Svensson parameters
OFZ - Russian Government Bonds
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