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  1. systematic-multi-asset-portfolio systematic-multi-asset-portfolio Public

    Systematic multi-asset portfolio strategy combining quantitative signals, machine learning and portfolio optimisation.

    Python

  2. numerical-methods-quant-finance numerical-methods-quant-finance Public

    Numerical methods applied to option pricing and trading strategy optimisation.

    Jupyter Notebook

  3. bermudan-swaption-pricing bermudan-swaption-pricing Public

    Pricing of a EUR Receiver Bermudan Swaption using a lognormal market model, Black-76 calibration and recombining binomial trees.