This repo is the complete collection of my notes, programs and projects created during my studies at the University College Dublin.

Mathematical finance study hall

Estudo sobre Finanças Matemáticas

Investment Distribution Algorithm

Online simulation section for Ergodic Aspects of Trading With-Threshold-Strategies (arXiv:2111.14708v2)

Datasets for testing implementations of Markowitz' Critical Line Algorithm

A Python package to model financial returns as Levy processes.

.Net / C# Option Pricer

Malliavin calculous application in a financial context

Vrednovanje azijskih opcija

Note on financial mathematics

This repository comprises a collection of reports covering various topics in advanced financial mathematics. Accompanying the reports are Visual Basic for Applications scripts used for data analysis on Excel.

Study material I built and kept during year.

Singapore Savings Bonds (SSB) Calculation and Determination of the next iteration of SSB through SGS references and spline interpolation

Deflated Sharpe Ratio

Tests the Black-Scholes model's performance on forecasting option call prices of a selected option chain dataset. Discusses factors such as volatility and time to expiration that affect the estimations of call option prices and how this occurs within the dynamics of the model.

High dimensional shrinkage optimal portfolios in R

R scripts for use with OSU Math 3618

A collection of educational notebooks covering key mathematical concepts and their applications in quantitative finance