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  1. ImpliedVolatilityModeller ImpliedVolatilityModeller Public

    Program written in Python with the objective of modelling implied volatility using a computational and mathematical approach.

    Python

  2. OptionPricingMonteCarloSim OptionPricingMonteCarloSim Public

    Vanilla/European and Asian option pricing using Monte Carlo simulation

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  3. HFFTradingStratIntrinsic HFFTradingStratIntrinsic Public

    Implementing a trading strategy for the FX (Foreign Exchange) market based on the intrinsic time framework

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  4. ReturnsProbPlots ReturnsProbPlots Public

    Brief introduction into computing returns and plotting probability plots using pandas/scipy

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  5. JbTestForReturns JbTestForReturns Public

    Jarque Bera test for normality for returns in equities

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  6. SingleIndexModelAB SingleIndexModelAB Public

    Estimate the α and β of each stock according to the single-index model using ordinary least squares regression over monthly excess returns,

    Jupyter Notebook