Pricing and Analysis of Financial Derivative by Credit Suisse using Monte Carlo, Geometric Brownian Motion, Heston Model, CIR model, estimating greeks such as delta, gamma etc, Local volatility model incorporated with variance reduction.(For MH4518 Project)

Quantitative finance and derivative pricing

Interest-rate modeling and Fixed Income Pricing in Python

Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore modern methods to price and calibrate such models and evaluate their pricing performance with respect to classical models and the observed market prices.

A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.

Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)

In this jupyter notebook an attempt was made to predict interest rate movements by Monte Carlo Simulations using the Vasicek, Cox-Ingerson-Ross, and Hull & White Model