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DeAmericanization-Algorithm
DeAmericanization-Algorithm PublicThis project aims to construct the dividends and forwards curves for American stocks and indices.
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Stochastic-Volatility-Inspired-Model
Stochastic-Volatility-Inspired-Model PublicThis project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.
Jupyter Notebook 5
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Local-Volatility-Model
Local-Volatility-Model PublicThis project aims to strip the Equity Local Volatility using SABR fitting method and test the calibration quality with Monte-Carlo. Arbitrages cleaning on market prices is required since the SABR d…
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Hull-White-One-Factor-Model
Hull-White-One-Factor-Model PublicThis project aims to implement the Hull & While One Factor model and price Bermudan Swaptions using the Crank-Nicolson PDE method.
Jupyter Notebook 3
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Copula-Approach-CMS-Spread-Option
Copula-Approach-CMS-Spread-Option PublicThis project aims to price CMS Spread Options using the Copula approach.
Jupyter Notebook 1
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Black-Scholes-Pricer
Black-Scholes-Pricer PublicThis project aims to price Simple and Exotic Options under the Black-Scholes model using Analytical and Monte-Carlo methods. Covered products : Vanilla, Digital, European Barrier, Arithmetic Asian,…
C++
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