| heston-sabr-comparison |
writing |
MSc thesis — applied comparison of Heston and SABR stochastic volatility models. Scored 77%. |
→ read |
| yield-curve-notes |
writing |
Personal notes on Nelson-Siegel, principal components, and curve fitting methods for the yield curve. |
→ read |
| stochastic-vol-primer |
writing |
A walkthrough of Heston and SABR models aimed at practitioners new to stochastic volatility. |
→ read |
| market-microstructure-notes |
writing |
Notes on adverse selection, the Glosten-Milgrom model, and the economics of bid-ask spreads. |
→ read |
| monte-carlo-pricer |
code |
Monte Carlo option pricer with variance-reduction techniques (antithetic, control variates) in Python + NumPy. |
→ open |
| pairs-trade-engine |
code |
Statistical-arbitrage engine using cointegration tests and a Kalman filter spread model. |
→ open |