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valuation

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Time Series forecasting using Seasonal ARIMA & Prophet. Applied statistical tests like Augmented Dickey–Fuller test to check stationary of series. Checked ACF ,PACF plots to identify Moving average and Auto-regressive order of series. Transformed series to make it stationary.

  • Updated Jan 25, 2022
  • Jupyter Notebook

Fixed income valuation with term structure models and Monte Carlo simulations: Pricing straight, floating and callable bonds, swaps, swaptions, forward rate agreements, and more exotic securities such as inverse or range floaters

  • Updated Mar 31, 2023
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