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1. stochastic-control-market-making stochastic-control-market-making Public

   Stochastic control model for joint option hedging and market making with bid-ask spreads, execution costs, and inventory risk.

   Python

2. advanced-vol-forecasting advanced-vol-forecasting Public

   This project models short-term realized volatility using lagged realized volatilities, variance risk premium, and implied vol metrics (VIX, VVIX, skew) using models such as HAR-RV, LASSO, and Gradi…

   Jupyter Notebook 2

3. quant-pricing-lib quant-pricing-lib Public

   A Python pricing library for rates and equity derivatives. It includes market calendars, discount curves, single- and multi-curve swap pricing, Black-Scholes analytics, binomial and Heston option m…

   Python

4. crypto-stat-arb crypto-stat-arb Public

   PCA factor-neutral statistical arbitrage strategy inspired by Avellaneda–Lee for large-cap cryptocurrencies, using OU residual mean reversion and s-score trading signals on hourly market data.

   Python

5. wind-power-curve-modeling wind-power-curve-modeling Public

   Wind power forecasting model with physics-inspired features and CatBoost/LightGBM ensembling

   Jupyter Notebook

6. crypto_redux crypto_redux Public

   Bare-bones implementation of a cryptocurrency and blockchain based on Bitcoin

   Jupyter Notebook