Projects

Things I built to answer a question I could not answer by reading. Each one is small enough to read end to end.

vol-surface output
vol-surface

SVI parameterisation of an equity implied-vol surface, fitted per-expiry and checked for calendar and butterfly arbitrage before it is allowed to interpolate.

pythonscipyrepo →
mc-pricer output
mc-pricer

Monte Carlo engine for path-dependent payoffs, with antithetic variates and a Brownian bridge for barrier monitoring.

c++repo →
factor-lab output
factor-lab

Cross-sectional factor regressions with walk-forward validation and honest transaction costs.

Rrepo →
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