Options P/L in React
This project aims to construct the Equity Implied Volatility surface under the SABR model.
This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.
This project aims to price American options using the Binomial model, the Barone-Adesi & Whaley approximation, and the Least-Squares MC method.
This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.
This project aims to construct the FX Volatility Surface and price FX Vanilla Options
This project aims to implement the Heston model (1993) and apply it to price Equity Variance & Volatility Swaps.
This project aims to implement Convertible Bonds pricing and risk analytics.
This project aims to price Simple and Exotic Options under the Black-Scholes model using Analytical and Monte-Carlo methods. Covered products : Vanilla, Digital, European Barrier, Arithmetic Asian, Spread Option, and Basket.
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