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Notebooks on deep learning, stochastic modeling, and derivatives pricing. The work, the data, and the method.
Deep Learning for Finance
Neural forecasting, representation learning, walk-forward validation, and allocation backtests.
Multi-Asset ETF Forecasting with Deep Learning
Compare MLP, CNN–GAF, and LSTM models for 25-day ETF return forecasts across SPY, TLT, SHY, GLD, and DBO, then backtest a multi-output allocation strategy.
MLP · CNN-GAF · LSTM · ETF Allocation
Read notebookValidation Design for Deep Learning Trading Strategies
Study how chronological splits, walk-forward validation, and label purging change apparent performance for MLP, LSTM, and CNN-GAF models on Bitcoin returns.
Walk-Forward Validation · Label Purging · Bitcoin · CNN-GAF
Read notebookStochastic Modeling
Option pricing, Heston calibration, Monte Carlo simulation, and regime-based allocation research.
Short-Maturity Option Pricing with the Heston Model
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.
Heston Model · Fourier Pricing · Monte Carlo · Asian Options
Read notebookRegime-Based ETF Allocation: Market Data Pipeline
Build a clean dataset for a VIX-regime rotation strategy across TLT, GLD, and SPY with aligned returns, volatility changes, and exploratory analysis.
Regime Allocation · VIX · ETF Returns · Data Pipeline
Read notebookFinancial Derivatives Pricing
Binomial trees, put-call parity, stochastic volatility, jump diffusion, and American options.
European Option Pricing with Binomial Trees
Apply put-call parity and binomial tree methods to price European calls and puts, estimate delta, and analyze convergence toward Black-Scholes values.
Binomial Trees · Put-Call Parity · Delta · European Options
Read notebookStochastic Volatility, Jump Diffusion, and American Options
Price options under stochastic volatility and jump models, estimate delta and gamma by finite differences, and analyze American exercise with least-squares Monte Carlo.
Stochastic Volatility · Jump Diffusion · LSMC · Greeks
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