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VaR-stress-testing
VaR-stress-testing PublicThis code analyzes Value at Risk using historical and Monte carlo method applied to a portfolio of three stocks with different weights. Also, it includes a stress test based on volatility of the po…
Jupyter Notebook 1
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American-Option-Pricing-with-Greeks
American-Option-Pricing-with-Greeks PublicPricing with American option. Also calculating sensitivity of option price with respect to different parameters.
Jupyter Notebook 1
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European-Option-Pricing
European-Option-Pricing PublicFinding the Value of European Call and Put Option using Black Scholes Equation
Jupyter Notebook
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Geometric-Brownian-Motion
Geometric-Brownian-Motion PublicGenerating One, Two and Three Dimensional Geometric Brownian Motion using Stochastic Differential Equation.
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Modern-Portfolio-Theory-and-Sharpe-Ratio
Modern-Portfolio-Theory-and-Sharpe-Ratio PublicFinding optimal and nonoptimal portfolio of three stocks with risk weighted assets
Jupyter Notebook
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