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  1. DeAmericanization-Algorithm DeAmericanization-Algorithm Public

    This project aims to construct the dividends and forwards curves for American stocks and indices.

    Jupyter Notebook 3 1

  2. Stochastic-Volatility-Inspired-Model Stochastic-Volatility-Inspired-Model Public

    This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.

    Jupyter Notebook 5

  3. Local-Volatility-Model Local-Volatility-Model Public

    This 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…

    Jupyter Notebook 4 1

  4. Hull-White-One-Factor-Model Hull-White-One-Factor-Model Public

    This project aims to implement the Hull & While One Factor model and price Bermudan Swaptions using the Crank-Nicolson PDE method.

    Jupyter Notebook 3

  5. Copula-Approach-CMS-Spread-Option Copula-Approach-CMS-Spread-Option Public

    This project aims to price CMS Spread Options using the Copula approach.

    Jupyter Notebook 1

  6. Black-Scholes-Pricer Black-Scholes-Pricer Public

    This 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++