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  1. Fixed-Income-Securities Fixed-Income-Securities Public

    final project for FIS (sem 2). OIS and LIBOR discount factor, forward rate, swaption pricing and calibration (SABR and displaced diffusion), CMS convexity correction and decompounded option pricing

    Jupyter Notebook 4

  2. Numerical-Methods Numerical-Methods Public

    homework and group project for numerical methods course (term 2)

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  3. Applied-Quant-Research-Methods Applied-Quant-Research-Methods Public

    case study aapl stock, timeframe - miliseconds. trying and comparing across different ml models

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  4. Stochastic-Modelling Stochastic-Modelling Public

    stochastic modelling final course project (term 1). bachelier, black76, black-scholes, displaced diffusion, SABR models, their calibration and usage in derivatives pricing on examples of SPX and SPY.

    Jupyter Notebook 1

  5. Quant-Trading Quant-Trading Public

    _academic_ projects (term 1-3) involving strategy development and backtest

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  6. Asset-pricing Asset-pricing Public

    a few small homeworks with key takeaways from asset pricing master's course (term 1)

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