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1. Macroeconometrics-Monetary-Policy-Surprises Macroeconometrics-Monetary-Policy-Surprises Public

   Forked from Timodang/Project-Macroeconometrics

   High-frequency identification of monetary policy surprises and their effects on the yield curve and macroeconomic outcomes.

   MATLAB

2. endogenous-regime-switching-ccp2017 endogenous-regime-switching-ccp2017 Public

   MATLAB replication and extension of Chang, Choi & Park (2017): endogenous regime switching with latent AR(1) dynamics. Applied to US GDP, VIX, WTI, and equity returns.

   MATLAB

3. Masters-thesis-nmd-risk-modeling Masters-thesis-nmd-risk-modeling Public

   Code developed as part of my second-year master’s thesis, focusing on quantifying the effects of model specification, interest-rate dynamics, and their interaction on the risks related to non-matur…

   Jupyter Notebook

4. Trinomial-Tree-for-Option-Pricing Trinomial-Tree-for-Option-Pricing Public

   Trinomial Tree for American and European Option Pricing, using an object-oriented approach in Python and VBA

   Python

5. global-commodity-cycles-and-linkages-favar-replication global-commodity-cycles-and-linkages-favar-replication Public

   Replication and extension of the following ECB Working Paper: Global commodity cycles and linkages, Lombardi, Osbat et Schnatz, 2010

   R

6. NLP NLP Public

   Final Project for the course "Introduction to NLP" - MSc 272 Economic and Financial Engineering | Paris-Dauphine University

   Python