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ludovico-finance/README.md

Ludovico Luce, PhD

Quant Researcher | Derivatives · Volatility · Risk | London

PhD in energy volatility. MSc Financial Engineering. Research and hands-on experience across derivatives pricing, stochastic volatility modelling, and systematic risk frameworks — from theory to production code.

Focus

  • Volatility & Derivatives — stochastic vol, BSM extensions, risk-neutral pricing, vol surface construction
  • Risk Modelling — market risk, tail risk, factor models, P&L attribution
  • Econometrics — regime switching, cointegration, time series, energy markets

Stack

Python R MATLAB

Research

  • SSRN — working papers, volatility & energy markets
  • PhD Thesis — University of Essex

Open Source

  • 📐 Derivatives pricing and volatility modelling tools — see pinned repos

Contact

📩 ludovico.luce.finance@gmail.com
🔗 Open to quant research and financial modelling roles in London

Pinned Loading

  1. equity-vol-surface equity-vol-surface Public

    End-to-end implied and local volatility surface from live SPY options, with Dupire local vol and an empirical study of the VIX term structure as a predictor of realised volatility.

    Jupyter Notebook 1