Options P/L in React
This project aims to construct the Equity Implied Volatility surface under the SABR model.
This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.
This project aims to price American options using the Binomial model, the Barone-Adesi & Whaley approximation, and the Least-Squares MC method.
This project aims to construct the FX Volatility Surface and price FX Vanilla Options
This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.
This project aims to implement the Heston model (1993) and apply it to price Equity Variance & Volatility Swaps.
This project aims to implement Convertible Bonds pricing and risk analytics.
This project aims to price Simple and Exotic Options under the Black-Scholes model using Analytical and Monte-Carlo methods. Covered products : Vanilla, Digital, European Barrier, Arithmetic Asian, Spread Option, and Basket.
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