Config files for my GitHub profile.
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Updated
Apr 6, 2024
Config files for my GitHub profile.
Estimated Bayesian Small Open Economics DSGE model with Stochastic Volatility in Structural Shock Processes
Code files containing research done around monte carlo stimulations, bayesian interference and stochastic volatility
R codes to implement two examples for the mode and importance sampling estimation methods.
Investigating Wiener Processes
R implementation of the Heston option pricing function
Code of numerical experiments in Master's thesis [TBD]
The workings for a very interesting exercise from the Econometrics of Financial Markets module of the MSc Quantitative Finance 2023/24 course at Bayes Business School (formerly Cass).
Introducing the data-driven concept through neural networks to price an option whose volatility is measured as a stochastic process.
R package pmhtutorial available from CRAN.
This is a collection of Stochastic indicators. It's developed in PineScript for the technical analysis platform of TradingView.
Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)
Demonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.
Stochastic volatility models and their application to Deribit crypro-options exchange
Quantitative finance and derivative pricing
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
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