Pinned Loading

1. deep-hedging-market-frictions deep-hedging-market-frictions Public

   Deep Hedging implementation for option hedging under Black-Scholes and Heston models, with transaction costs and comparison against classical delta hedging.

   Jupyter Notebook

2. black-scholes-pde-crank-nicolson black-scholes-pde-crank-nicolson Public

   C++ finite-difference pricing project for European options: Black–Scholes PDE, Crank–Nicolson scheme, implicit reduced formulation, Thomas tridiagonal solver and SDL2 visualizations.

   C++

3. financial-econometrics-volatility-var-evt financial-econometrics-volatility-var-evt Public

   Financial econometrics project on volatility modelling, tail risk measurement, and intraday return analysis.

   Jupyter Notebook

4. xva-cva-gaussian-process-regression xva-cva-gaussian-process-regression Public

   Gaussian Process Regression surrogate for CVA/XVA computations: EPE estimation, MC-GP CVA estimator, comparison with full revaluation, Greeks, incremental CVA VaR and uncertainty analysis.

   Jupyter Notebook

5. lookback-option-pricer-cpp lookback-option-pricer-cpp Public

   C++ implementation of a Monte Carlo pricer for European floating-strike lookback options under the Black–Scholes model, with Excel/VBA interface, Greeks computation, and graphical outputs for price…

   C++

6. market-making-inventory-risk-stochastic-control market-making-inventory-risk-stochastic-control Public

   Python implementation of a stochastic-control market-making model with inventory risk, optimal bid/ask quotes, P&L simulations, sensitivity analysis and Coinbase BTC-USD calibration.

   Jupyter Notebook