Technical notebooks across quantitative finance and machine learning — models, data, simulation, and the methods behind them, explained step by step.
Option pricing, Heston calibration, Monte Carlo simulation, and regime-based allocation research.
Calibrate the Heston model to 15-day SM Energy options using Lewis and Carr-Madan Fourier methods, then price a 20-day ATM Asian call with Monte Carlo.
Build a clean dataset for a VIX-regime rotation strategy across TLT, GLD, and SPY with aligned returns, volatility changes, and exploratory analysis.
Binomial trees, put-call parity, stochastic volatility, jump diffusion, and American options.
Apply put-call parity and binomial tree methods to price European calls and puts, estimate delta, and analyze convergence toward Black-Scholes values.
Price options under stochastic volatility and jump models, estimate delta and gamma by finite differences, and analyze American exercise with least-squares Monte Carlo.