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  1. Vol-surface-parametrisation Vol-surface-parametrisation Public

    Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations

    Python 27 14

  2. Options-market-making-using-a-stochastic-control-approach Options-market-making-using-a-stochastic-control-approach Public

    Derivation of analytical expressions of optimal quotes for market making in options.

    Python 14 6

  3. Bayesian-filtration Bayesian-filtration Public

    Analysis of Bayesian filtration using practical examples of application of Kalman and Particle filters on estimation problems of hidden state

    Jupyter Notebook 1 1