Language Breakdown
Lines of code distribution across 11 owned repositories
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Repos
11
PRs
0
Growth
+18%
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This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.
This project aims to construct the Equity Implied Volatility surface under the SABR model.
This project aims to strip the Equity Local Volatility surface and implement the associated PDE pricing method.
This project aims to calibrate dividends and volatility surfaces from listed European and American equity option prices.
This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.
This project aims to price American options using the Binomial model, the Barone-Adesi & Whaley approximation, and the Least-Squares MC method.
This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.
This project aims to construct the FX Volatility Surface and price FX Vanilla Options
This project aims to implement Convertible Bonds pricing and risk analytics.
This project aims to implement the Heston model (1993) and apply it to price Equity Variance & Volatility Swaps.
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