A collection of macroeconomic models with heterogenous agents written in python and matlab by me.
Computation in Macro - PhD tutorial
Supplements the paper "Self-Consistent Transport in Heterogeneous Agent Models” [STHAM] by Andrew Lyasoff
Anatomizing Incomplete-markets Small Open Economies
QuantHedge-MM implements advanced computational methods for pricing and hedging options in markets with stochastic regime shifts. Built for quants and researchers, it extends Black-Scholes to Markov-modulated models.
Utility indifference pricing in incomplete markets.
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