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Rajesh R.'s Projects

bbg-eco-excel icon bbg-eco-excel

Scripts to format economic release data taken from Bloomberg, via an excel plugin. Note this script is designed for Bloomberg users unable to access the Bloomberg API

international-real-yields icon international-real-yields

The project fits the Nelson-Siegel or Svensson curve to sovereign bond data (Real & Nominal) for various countries.

mth_4115 icon mth_4115

Numerical Analysis, 2nd Edition (9780321783677): Timothy Sauer. Course notes and code assignments.

mth_4300 icon mth_4300

The C++ Programming Language, 4th Edition, Addison-Wesley Professional (2013). Course notes and code assignments.

mth_4600 icon mth_4600

Statistical Models and Methods for Financial Markets (Tze Leung Lai and Haipeng Xing, Springer). Course notes and code assignments.

mth_5500 icon mth_5500

S. Shreve, Stochastic Calculus for Finance. Course notes and code assignments.

random_zeta icon random_zeta

Numerical methods to verify and extend conjectures about the large values of the Riemann zeta function in short intervals

tips-treasury-puzzle icon tips-treasury-puzzle

Replication of "The TIPS-Treasury Bond Puzzle" paper (2014) by Hanno Lustig, Matthias Fleckenstein, and Francis A. Longstaff

variance-risk-premia icon variance-risk-premia

Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD

x17a5 icon x17a5

Database construction scripts from parsed X-17A-5 filings for broker-dealers from EDGAR

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