Quantitative finance and other nerdy projects. :-)
- Hong Kong
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- https://orcid.org/0009-0008-0261-9655
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discretization-cir-processes
discretization-cir-processes Public archiveThis is a simulation project for the seconder order discretization schemes for the CIR process.
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barrier-and-look-back-options
barrier-and-look-back-options Public archiveThis package allows you to perform various computations on European call options, barrier options and look-back options in the C++ language.
C++ 2
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kairos-volatility-prediction
kairos-volatility-prediction Public archiveAdvanced machine learning techniques for volatility prediction on financial markets. The Kairos package was developed for CFM’s ENS DataChallenge 2018.
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