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  1. triplets-trading triplets-trading Public

    Project exploring the possibility of building a statistical arbitrage strategy based on pricing inefficiencies between three S&P 500 ETFs. The approach combines Johansen cointegration analysis to d…

    Jupyter Notebook

  2. heston-hull-white heston-hull-white Public

    Python implementation of the Heston-Hull & White model for modelling price processes under stochastic volatility and interest rates. Includes a sample use case demonstrating calibration to historic…

    Jupyter Notebook