software

All codes coming soon, feel free to contact me if you want details for any of them.

Pricing and Risk in Sovereign Green Bonds: Evidence from Chile

JAX code for estimation of affine term structure models. Automatic differentiation for optimization and parallel bootstrap in GPUs/TPUs.

Asset Returns as Carbon Taxes

Python code for calibration and solution of a multi-sector input output model of the US economy with heterogeneous agents and nonlinear carbon taxes.

Local Government Valuation

Numba GPU kernels for monte carlo option pricing implied by estimated exponentially affine term structure models.