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1. epfl-fin405-investments epfl-fin405-investments Public

   Systematic investment strategies (DIV, MOM, REV, CARRY, DOLLAR) for a U.S. investor. EPFL FIN-405 project.

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2. market-risk-copula-var-es market-risk-copula-var-es Public

   Market risk framework computing VaR and ES (95% / 99%) with Kupiec, Christoffersen, and Acerbi-Székely backtests, and Copula modeling (Gaussian, Student-t, Archimedean) for tail dependency. EPFL FI…

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3. equity-return-prediction-ml equity-return-prediction-ml Public

   ML pipeline for monthly U.S. equity return prediction using CRSP / Compustat / JKP factor characteristics. Implements OLS, Ridge, Lasso, XGBoost, and MLP models with rolling-window evaluation and I…

   Python

4. bermudan-swaption-andersen bermudan-swaption-andersen Public

   Bermudan Receiver Swaption pricing using the Libor Market Model (LMM) under the spot measure, with Andersen (1999) primal-dual algorithm for optimal exercise boundaries. EPFL Advanced Derivatives p…

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5. local-volatility-andreasen-huge local-volatility-andreasen-huge Public

   Local volatility calibration on EURO STOXX 50 using the Andreasen-Huge (2010) algorithm — arbitrage-free implied volatility surface via finite-difference scheme and L-BFGS-B optimization

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6. ada-2025-project-adanalysts ada-2025-project-adanalysts Public

   Causal inference study on Reddit data (EPFL Applied Data Analysis 2025): does shared hostility between online communities drive alliance formation? Uses Propensity Score Matching and Rosenbaum sens…

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