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  1. heston heston Public

    Quantification of risk metrics (VaR, ES, Loss Distribution, Hedging Error) via Monte Carlo simulation of stochastic models (GBM, Heston) with parameter estimation (MLE) on historical data.

    Python 2

  2. jumpdiffusion jumpdiffusion Public

    Conducting Monte Carlo simulation of stochastic models (GBM, Merton Jump Diffusion Model) for the forecasting of stock positions. Serves as a "prelude" to the heston repository.

    Python

  3. TCF TCF Public

    TCF, or The Contrarian Fund, is a proposed trading strategy that is based in mean reversion. The following code is used to algorithmically determine the portfolio composition, on an ongoing basis. …

    Python

  4. Observability Observability Public

    The underlying multi-asset model, testing files, and empirical study data for the paper "The Observability of Systemic Risk through a Proxy Asset".

    MATLAB