Bayesian estimation of no-arbitrage affine term structure models in Julia
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May 3, 2026 - Julia
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term-structure
Here are 7 public repositories matching this topic...
Implied volatility surface fitting, SVI calibration, variance swap pricing, arbitrage detection, and greeks surfaces in Python. Uses the FlashAlpha API.
python options quantitative-finance implied-volatility greeks realized-volatility svi variance-swap volatility-surface term-structure arbitrage-detection options-analytics volatility-skew
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Jun 4, 2026 - Python
An open RFP for native fixed-term, fixed-rate lending on Flare — composing Morpho Midnight, Spectra (PT/YT) and Firelight into a real on-chain yield curve. Sister to rfp-options-flare-native.
kinetic xrp spectra lending flare yield-curve morpho fixed-income rfp defi firelight term-structure fixed-term fixed-rate credit-spread fxrp yield-derivatives
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May 31, 2026
Production-style, reproducible toolkit for volatility RV (VIX term structure, carry/roll-down, VRP proxy) with run manifest and reports.
python risk reproducibility volatility backtesting vix carry relative-values term-structure variance-risk-premium
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Feb 24, 2026 - Python
Simulação da taxa de juros com o modelo CIR (Euler–Maruyama e Milstein), Monte Carlo para precificação de bonds e construção da curva a termo.
python simulation monte-carlo quantitative-finance sde interest-rates yield-curve cir bond-pricing stochastic-calculus euler-maruyama short-rates milstein term-structure
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Nov 17, 2025 - Jupyter Notebook
This repository focuses on yield-curve analytics and term-structure modelling, with emphasis on curve dynamics, Nelson-Siegel methods, forecasting, and scenario analysis.Yield Curve Analytics
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Mar 22, 2026 - Jupyter Notebook
Replication-style research on VIX futures signals & term structure; report published via GitHub Pages (docs/index.html)
finance research jupyter-notebook quant research-project futures volatility vix carry term-structure
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Feb 24, 2026 - Jupyter Notebook
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