Pinned

1. MonteCarlo MonteCarlo Public

   A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

   Jupyter Notebook 96 52

2. AlphaTrading AlphaTrading Public

   An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor mod…

   Jupyter Notebook 301 133

3. TreasuryFutureTrading TreasuryFutureTrading Public

   A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change

   Jupyter Notebook 63 33

4. ExplicitImpliedVolatility ExplicitImpliedVolatility Public

   For the first time we derived a closed form solution for Black-Scholes impled volatility

   Mathematica 10 4

5. CUDA CUDA Public

   Using CUDA-accelerated Monte Carlo for option pricing. Developing a option pricing system in CUDA.

   C++ 7 8