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1. Option-Pricing---Multi-Level-Monte-Carlo-Method Option-Pricing---Multi-Level-Monte-Carlo-Method Public

   The numerical results show significant computational savings by using MLMC method with Brownian Bridge

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2. SOFR-Caps-Calibration-and-REMIC-Tranche-Pricing SOFR-Caps-Calibration-and-REMIC-Tranche-Pricing Public

   Fixed income library that calibrates a one factor Hull White short rate model to SOFR cap prices for a single trade date and then prices a REMIC floater and a support tranche with option adjusted s…

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3. Pricing-and-Replication-Strategy Pricing-and-Replication-Strategy Public

   This C++ program realises option pricing using three different methods: the Black-Scholes-Merton (BSM) model, the Monte Carlo method, and PDE.

   C++ 1

4. Bitfinex-Lending-API-Display-on-Discord-Julien-Sklarik Bitfinex-Lending-API-Display-on-Discord-Julien-Sklarik Public

   This application aims to monitor positions and risks by pulling data from your Bitfinex portfolios and displaying it in an easy-to-read way.

   Python 1

5. Hidden-Liquidity-from-Quote-Size-Imbalance Hidden-Liquidity-from-Quote-Size-Imbalance Public

   A research project that infers a hidden liquidity parameter from best quote sizes and mid price changes in limit order books. Built from work conducted at UC Berkeley and expanded into a clean reus…

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6. Intraday-Volatility-Forecasting-for-Equity-and-FX Intraday-Volatility-Forecasting-for-Equity-and-FX Public

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