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  1. copula_opt_pricing copula_opt_pricing Public

    Python 2

  2. heston_nandi_garch heston_nandi_garch Public

    Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option price and computations of pdf and cdf.

    Python 10 2

  3. project_repo project_repo Public

    Repository for small projects, bits of code and few-line tools

    Jupyter Notebook