Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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Updated
Jun 26, 2023 - MATLAB
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
A framework for financial systemic risk valuation and analysis.
A framework for historical volatility estimation and analysis.
A framework for estimating Basel IV capital requirements.
Case Studies in Finance: Stock Price Valuation using Black-Scholes using Brownian Motions, Investment Project comparing Stocks and Bonds, Determining Pension Fund's Premium. (Case Study Papers and Code)
A framework for detecting misreported returns in hedge funds.
Be systematically sort out my relevant knowledge of Matlab
Financial Modelling and Computation
TD Ameritrade API for MATLAB
Machine Learning Techniques to extract useful forecasts, conclusions and decision making in Quant Finance
Quantitative Risk and Asset Management Project - HEC Lausanne
An Implementation of Markov Switching Models for Weather Derivative Pricing
Matlab code and tools for Quant Research, Data Manipulation and Robust Decision Making
Code pieces written for quantitative finance courses and projects.
A repo for implementation and testing of quantitative models for derivative pricing.
Quantitative and computational finance library
Yong Zhang, Jiahao Li, Xingyu Yang, and Jianliang Zhang. "Competitive online strategy based on improved exponential gradient expert and aggregating method" Computational Economics, 2023.
Optimization Methods in Finance, final project, auxiliary codes in Matlab for OMV curve, sharpe ratio and admissible regions
ML Estimation for Discrete Multivariate Vasicek Processes
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