Quantitative Finance · Research · Code
My Work
My interests lie at the intersection of financial mathematics, derivatives pricing and quantitative modelling.
Approach
I am interested in understanding financial problems from both a mathematical and computational perspective.
My projects typically combine financial theory, stochastic modelling and numerical implementation in Python and/or C++.
I focus on understanding the assumptions behind a model, implementing it carefully and analysing its behaviour through numerical experiments.
My Projects
09 ProjectsBlack Scholes
Implementation of a Black Scholes pricer.
Pricing of Callable Bonds
Implementation of a callable bond pricer using the one-factor Hull-White interest rate model.
Correlation Modelling
Correlation modelling for the pricing of worst-of and best-of multi-asset products.
Heston Calibration
Calibration of the Heston Model.
Dupire Calibration
Calibration of the Dupire model.
Stochastic Local Volatility Model
Calibration of SLV Model.
Pricing of Barrier options
Barrier option pricing.
Bermudan Swaption
Pricing of Bermudan Swaption.
Yield Curve construction
Construction of the yield curve with different methodologies.