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fixed-income-modeling

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Idriss-Afra / Hull-White-One-Factor-Model

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This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.

python jupyter-notebook derivatives model-calibration pde fixed-income swaptions hull-white pde-solver derivatives-pricing options-pricing bermudan-option options-calculator short-rates quant-finance interest-rate-derivatives bachelier-model fixed-income-analytics interest-rate-models fixed-income-modeling
  • Updated Mar 19, 2026
  • Jupyter Notebook

ouyang-j / Pension-Asset-Liability-Management-Optimization

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an optimal fixed-income portfolio to immunize $9.3B in inflation-indexed pension liabilities over an 80-quarter horizon. Implemented Linear Programming in R to minimize cost while managing credit scores, inflation-linkage caps, and liquidity constraints

linear-programming quantitative-finance r-programming risk-management stochastic-optimization actuarial-science pension-funds asset-liability-management liability-trading fixed-income-modeling
  • Updated Jan 17, 2026
  • R

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