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  1. Equity-Implied-Volatility-Surface Equity-Implied-Volatility-Surface Public

    This project aims to calibrate dividends and volatility surfaces from listed European and American equity option prices.

    Jupyter Notebook 4 2

  2. Stochastic-Volatility-Inspired-Model Stochastic-Volatility-Inspired-Model Public

    This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.

    Jupyter Notebook 10

  3. Local-Volatility-Model Local-Volatility-Model Public

    This project aims to strip the Equity Local Volatility surface and implement the associated PDE pricing method.

    Jupyter Notebook 5 2

  4. Hull-White-One-Factor-Model Hull-White-One-Factor-Model Public

    This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.

    Jupyter Notebook 2

  5. CMS-Pricing-Analytics CMS-Pricing-Analytics Public

    This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.

    Jupyter Notebook 4 1

  6. Convertible-Bonds-Pricing-Analytics Convertible-Bonds-Pricing-Analytics Public

    This project aims to implement Convertible Bonds pricing and risk analytics.

    Jupyter Notebook 1