This repository contains the notes related to the Advanced Asset Pricing and Portfolio Management assignment. In the exercise, we derive and implement the so-called "Extended" Vasicek model, where the market price of risk, lambda, is assumed to be time-dependent. Along with the notes containing the complete derivation and results of both Vasicek and Extended Vasicek model, we provide a Jupyter Notebook where we outline the most important steps of the derivations. We then implement a simple version of the two models, we estimate the parameters on the TIPS' yields data and comment the results obtained by both models.
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