My answers to exercises in Stochastic Calculus for Finance by Steven E. Shreve.

Record the learning materials of the course - "STOCHASTIC ANALYSIS OF COMPUTER NETWORKS" in National Cheng Kung University.

An R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of these systems in both forms Itô and Stratonovich <doi:10.18637/jss.v096.i02>.

🌔 Malliavin calculus via functional programming

This Jupyter notebook presents a comprehensive mathematical framework for predicting Bitcoin price movements using stochastic calculus, Fourier analysis, and technical indicators, combining Monte Carlo simulation with RSI and CCI metrics for enhanced accuracy.

The main focus of this repository is to analysis the fair price and the risk of the Auto-callable Reverse Convertible issued by Credit Suisse AG on 24/10/2017

Curated list of mathematics, probability, ML, and quantitative trading resources for quants and algorithmic traders.

Stochastic Calculus Example Code

The "Numerical Projects in Stochastic Calculus for Finance" repository contains a collection of numerical projects from the book "A First Course in Stochastic Calculus" by L.P. Arguin implemented in Python and focused on stochastic calculus and its applications in finance. The book is also available in pdf format in the repository.

Welcome to the course page for Stochastic Calculus and Mathematical Finance, taught by Prof. Sandeep Juneja.

Malliavin calculous application in a financial context

Lean verified Science.

My documented work as I work through a textbook on Stochastic Calculus!

Python implementation of advanced financial network analysis toolkit for creating multi-layered Digital Twins of market dynamics. Implements information-theoretic Transfer Entropy and stochastic Kramers-Moyal methods to map non-linear, directed relationships between assets during normal and crisis periods.

American Basket Option

Automated volatility arbitrage engine exploiting rough volatility mispricing in short-dated equity options. Combines Monte Carlo pricing with Gaussian HMM regime detection to trade only during calm markets. Connects to Interactive Brokers for live/paper trading with full validation suite.

Generate realizations of stochastic processes in python.

Archivos .tex de algunas de las tareas correspondientes al curso de Modelos Estocásticos en Finanzas de la maestría en proba y estadística del CIMAT