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Implement Monte Carlo Numerical method to solve Stochastic Differential Equations/Simulation problems

CVA IRS portfolio calculation using LMM model

CVA IRS portfolio calculation using Gaussian HJM model

Monte Carlo Numerical method acceleration with NVIDIA CUDA (STREAMS)

Monte Carlo Numerical method acceleration with NVIDIA CUDA (Multiple-GPU)

Review NVIDIA Paper on Asian Option Pricing / Monte Carlo / GPU / CURAND

Monte Carlo Predictor Corrector

Monte Carlo Variance Reduction Importance Sampling

Monte Carlo Variance Reduction Control Variate

Monte Carlo test different Random Numbers

Finish Nth to Default Credit Default Swap Basket C++20 Implementation

TODO

Compute Greek computations using AD dco/c++ (Uwe Neumann)

Acceleration of AD calculation using CUDA/SYCL and LLVM

Calculus, Linear Algebra, Statistics, Probability, Statistics (Spivak, Gilbert Strang, Grimmet)

Chebyshev Polynomials and General Numerical analisys , Numerical Linear Algebra (Burden & Feires, Volkov, Threfethen, Demmel)

Study Direct Delta Functions, Green Functions (Riley, Hobson, Bence)

Study Stochastic PDE, DE, Direct Delta Functions, Boundary Conditions BVP (Willmot, Threfethen, Duffy)

Study Measure Theory,Stochastic Calculus, SDE, Martingals Theory, Ito Calculus, Feymann-Kac, Girsanov (Willmot, Pliska, Steven Shreve, Neftci, Oskendal)

Malliavin Calculus

Review Monte Carlo methods in Finance (Jaeckel, Glasserman, Mike Giles)

Solves PDE numerically using Finite Differences

Solves PDE numerically using Fourier Transform

Radial Functions Option Pricing, Radial Basis Functions & Fourier Transform (Alonso Pegna)

Hagan numerical interpolation

Study Numerical Optimization Techniques (Nocedal)

Asyntotic Analysis, Spectral Methods, Topology & Differential Geometry (Spivak, Gilbert Strang)

Study Monte Carlo method variance reduction methods

Dive depth on Calibration, Correlation and Volatility

Implement Local Volatility Model and Stochastic Volatility Models [Heston Model, SABR Model, CEV Model] (Dupire, Jim Gatheral, Lorenzo Bergomi, Xen Chuli)

Hagan LIBOR Market Model with SABR Volatility (HAGAN)

Price/Study FX products

Baruch Course on Interest Rate and Credit Models (MTH-9877) (Brigo, Rebonato, Pallacini, Hagan)

Price Bermuda Swaptions (Garetek)

Study Machine Learning and Deep Learning (Christopher Bishop, TEOSTL, Ian Good Fellow, Tensor Flow)

Implement Rough Volatility paper with Deep Learning / Tensor Flow

American Options

Multi-Asset (rainbow) options

Marginal (MVA), Collateral, XVA (Green)

Skills Gained (Andrew Green)

1 - Develop a new XVA platform

2 - CUDA GPU / C++ (11) CPU Hybrid Compute environment

3 - Grid Computing

4 - Adjoint Algorithmic Differentiation (AAD): CPU/GPU implementation using NAG dco/dco_map

5 - Multi-asset platform: IR & FX, later inflation, commodities and equity derivatives

6 - stochastic volatility modelling, correlation & calibration

7 - Deep Learning applications in XVA

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Name		Name	Last commit message	Last commit date
Latest commit History 66 Commits
3D Finite Difference Computation on GPUs using CUDA.pdf		3D Finite Difference Computation on GPUs using CUDA.pdf
Accelarating Asian Option Pricing in Many Cores.pdf.zip		Accelarating Asian Option Pricing in Many Cores.pdf.zip
AcceleratingFinancialApplicationsOnTheGPU-paper.pdf		AcceleratingFinancialApplicationsOnTheGPU-paper.pdf
CQF_Advanced_Volatility_Modeling_MSc_DissertationMagaliCalabressi.pdf		CQF_Advanced_Volatility_Modeling_MSc_DissertationMagaliCalabressi.pdf
DL - Parametric Exponential Linear Unit for Deep Convolutional Neural Networks.pdf		DL - Parametric Exponential Linear Unit for Deep Convolutional Neural Networks.pdf
DL - QF - A generative adversarial network approach to calibration of local stochastic volatility models.pdf		DL - QF - A generative adversarial network approach to calibration of local stochastic volatility models.pdf
DL - QF - Accuracy of Deep Learning in Calibrating HJM Forward Curves.pdf		DL - QF - Accuracy of Deep Learning in Calibrating HJM Forward Curves.pdf
DL - QF - Deep Learning an Introduction to applied mathematicians.pdf		DL - QF - Deep Learning an Introduction to applied mathematicians.pdf
DL - QF - Deep Primal-Dual Algorithm for BSDEs- Applications of Machine Learning to CVA and IM.pdf		DL - QF - Deep Primal-Dual Algorithm for BSDEs- Applications of Machine Learning to CVA and IM.pdf
DL - QF - Deep learning volatility.pdf		DL - QF - Deep learning volatility.pdf
DL - QF - Deep learning-based numerical methods for high-dimensional parabolic partial differential.pdf		DL - QF - Deep learning-based numerical methods for high-dimensional parabolic partial differential.pdf
DL - QF - Deeply learning derivatives.pdf		DL - QF - Deeply learning derivatives.pdf
DL - QF - Forward-Backward Stochastic Neural Networks.pdf		DL - QF - Forward-Backward Stochastic Neural Networks.pdf
DL - QF - Learning curve dynamics with artificial neural networks.pdf		DL - QF - Learning curve dynamics with artificial neural networks.pdf
DL - QF - Machine Learning for Quantitative Finance.pdf		DL - QF - Machine Learning for Quantitative Finance.pdf
DL - QF - Model Calibration with Neural Networks.pdf		DL - QF - Model Calibration with Neural Networks.pdf
DL - QF - Neural Network for CVA- Learning Future Values.pdf		DL - QF - Neural Network for CVA- Learning Future Values.pdf
DL - QF - Overcoming the Curse of Dimensionality with Deep Learning.pdf		DL - QF - Overcoming the Curse of Dimensionality with Deep Learning.pdf
DL - QF - Parsimonious modeling of yield curves.pdf		DL - QF - Parsimonious modeling of yield curves.pdf
Kurt Keutler - Acceleration of Market Value-at-Risk Estimation.pdf		Kurt Keutler - Acceleration of Market Value-at-Risk Estimation.pdf
LMM Practice Ch7 - Calibration to Caps (caplet vol. stripping) AN.pdf		LMM Practice Ch7 - Calibration to Caps (caplet vol. stripping) AN.pdf
MATH - NUM - Linear regression with special coefficient features attained via parameterization in exponential, logistic, and multinomial–logit forms.pdf		MATH - NUM - Linear regression with special coefficient features attained via parameterization in exponential, logistic, and multinomial–logit forms.pdf
NVIDIA-CUDA-Floating-Point.pdf		NVIDIA-CUDA-Floating-Point.pdf
QF - AAD - Smoking Adjoints - Fast Monte Carlo Greeks.pdf		QF - AAD - Smoking Adjoints - Fast Monte Carlo Greeks.pdf
QF - AAD - computing-sensitivities-of-cva-using-aad.pdf		QF - AAD - computing-sensitivities-of-cva-using-aad.pdf
QF - IR - Bond Pricing and the Term Structure of Interest Rates A New Methodology for Contingent Claims Valuation1992.pdf		QF - IR - Bond Pricing and the Term Structure of Interest Rates A New Methodology for Contingent Claims Valuation1992.pdf
QF - IR - HAGAN - Callable-Swaps-and-Bermudan-Swaption-Pat-Hagan.pdf		QF - IR - HAGAN - Callable-Swaps-and-Bermudan-Swaption-Pat-Hagan.pdf
QF - IR - HAGAN - LIBOR market model with SABR Volatility.pdf		QF - IR - HAGAN - LIBOR market model with SABR Volatility.pdf
QF - IR - Hagan - Monotone Convex Interpolation.pdf		QF - IR - Hagan - Monotone Convex Interpolation.pdf
QF - IR - Harrow - Bond Pricing and Term Structure of Interest Rates.pdf		QF - IR - Harrow - Bond Pricing and Term Structure of Interest Rates.pdf
QF - IR - LMM - Calibration of Libor Market Model to Caps and Swaptions Market Volatilities.pdf		QF - IR - LMM - Calibration of Libor Market Model to Caps and Swaptions Market Volatilities.pdf
QF - IR - Roubustness in HJM.pdf		QF - IR - Roubustness in HJM.pdf
QF - IR - SOFR - Spike Modeling for Interest Rate Derivatives with an Application to SOFR Caplets SSRN-id3700446.pdf		QF - IR - SOFR - Spike Modeling for Interest Rate Derivatives with an Application to SOFR Caplets SSRN-id3700446.pdf
QF - MC - NVIDIA - MonteCarlo Option Pricing.pdf		QF - MC - NVIDIA - MonteCarlo Option Pricing.pdf
QF - Market Models for Inflation - Ferhana Ahmad.pdf		QF - Market Models for Inflation - Ferhana Ahmad.pdf
QF - Modeling Credit Risk through Intensity Models .pdf		QF - Modeling Credit Risk through Intensity Models .pdf
QF - Option Pricing with Radial Basics Functions (Alonso Pegna).pdf		QF - Option Pricing with Radial Basics Functions (Alonso Pegna).pdf
QF - SDE - Malliavin Calculus.pdf		QF - SDE - Malliavin Calculus.pdf
QF - SDE - Martingales Theory and Stochastics Integrals - Pliska.pdf		QF - SDE - Martingales Theory and Stochastics Integrals - Pliska.pdf
QF - VOL - Deep Learning Volatility.pdf		QF - VOL - Deep Learning Volatility.pdf
QF - VOL - Dupire - Pricing and Hedging with the smile.pdf		QF - VOL - Dupire - Pricing and Hedging with the smile.pdf
QF - VOL - Gatheral - Rough Volatility an Overview.pdf		QF - VOL - Gatheral - Rough Volatility an Overview.pdf
QF - VOL - Gatheral.1.pdf		QF - VOL - Gatheral.1.pdf
QF - VOL - HAGAN - Managing the Smile Risk.pdf		QF - VOL - HAGAN - Managing the Smile Risk.pdf
QF - VOL - Implied Stochastic Volatility Models.pdf		QF - VOL - Implied Stochastic Volatility Models.pdf
QF - VOL - Numerical Solutions for the Stochastic Local Volatility Model.pdf		QF - VOL - Numerical Solutions for the Stochastic Local Volatility Model.pdf
QF - VOL - Sensitivity Analysis in the Dupire Local Volatility Model with Tensorflow.pdf		QF - VOL - Sensitivity Analysis in the Dupire Local Volatility Model with Tensorflow.pdf
QF - XVA - Super Fast Greeks An Application to Counterparty Valuation Adjustments - SavickasVytautasMA2011 copy.pdf		QF - XVA - Super Fast Greeks An Application to Counterparty Valuation Adjustments - SavickasVytautasMA2011 copy.pdf
README.md		README.md
monitoring-spark-dashboard		monitoring-spark-dashboard

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