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  1. FRTB-Market-Risk FRTB-Market-Risk Public

    This is about calculating Market Risk capital charge under Standardised Approach(SBM) in FRTB

    Jupyter Notebook 5 1

  2. IMA-Model-Validation IMA-Model-Validation Public

    Advanced Approach under FRTB(IMA) requires institutions to meet quantitative tests namely Backtesting and PnL attribution..

    Jupyter Notebook 2 1

  3. Option-Greeks-Calculaiton-B-S- Option-Greeks-Calculaiton-B-S- Public

    Calculates Black-Scholes European option Greeks under Monte Carlo scheme

    Jupyter Notebook 1 1

  4. Options-Pricing- Options-Pricing- Public

    Pricing vanilla European option using BSM and Monte carlo simulation. Path dependent option pricing using Monte-Carlo simulation

    Jupyter Notebook 1