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  1. VaR-stress-testing VaR-stress-testing Public

    This 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

  2. American-Option-Pricing-with-Greeks American-Option-Pricing-with-Greeks Public

    Pricing with American option. Also calculating sensitivity of option price with respect to different parameters.

    Jupyter Notebook 1

  3. Asian-Option-Pricing Asian-Option-Pricing Public

    Jupyter Notebook

  4. European-Option-Pricing European-Option-Pricing Public

    Finding the Value of European Call and Put Option using Black Scholes Equation

    Jupyter Notebook

  5. Geometric-Brownian-Motion Geometric-Brownian-Motion Public

    Generating One, Two and Three Dimensional Geometric Brownian Motion using Stochastic Differential Equation.

    Jupyter Notebook

  6. Modern-Portfolio-Theory-and-Sharpe-Ratio Modern-Portfolio-Theory-and-Sharpe-Ratio Public

    Finding optimal and nonoptimal portfolio of three stocks with risk weighted assets

    Jupyter Notebook