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  1. systematic-multi-asset-portfolio systematic-multi-asset-portfolio Public

    Systematic multi-asset portfolio strategy combining quantitative signals, machine learning and portfolio optimisation.

    Python

  2. numerical-methods-quant-finance numerical-methods-quant-finance Public

    Numerical methods applied to option pricing and trading strategy optimisation.

    Jupyter Notebook

  3. bermudan-swaption-pricing bermudan-swaption-pricing Public

    Pricing of a EUR Receiver Bermudan Swaption using a lognormal market model, Black-76 calibration and recombining binomial trees.

  4. market-risk-analytics market-risk-analytics Public

    Market risk analysis in Python: Historical VaR, Expected Shortfall, Monte Carlo, full revaluation and Stress VaR.

    Jupyter Notebook

  5. credit-risk-economic-capital credit-risk-economic-capital Public

    Credit portfolio risk modelling in Python using Monte Carlo simulation, VaR, Expected Shortfall and Basel IRB capital.

    Jupyter Notebook