Isaac Saxonov
Notebooks and code
Bond factor models
- Multifactor bond regressions: Bayesian factor model on bond excess returns
American option pricer → neural net
- American binomial pricer: CRR tree with dividends
- Neural pricer (MLP): PyTorch model trained on ~100k prices from the binomial pricer
SOFR futures & funding markets
- SOFR futures fair value: SR3 contract calibrator that enumerates FOMC rate-path scenarios and finds the implied Fed path from a market price
- Funding stress model: exploratory Bayesian sketch of the SOFR-IORB spread vs leverage, reserves, RRP, and month-end pressure. A working draft rather than a polished result, included as an example of poking at SOFR microstructure data.