Discover @Robin-Guilliou Open Source projects

Robin Guilliou (@Robin-Guilliou)

Robin-Guilliou

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Option-Pricing

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

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Vasicek-Calibration

Simulation of interest rate paths and calibration of the Vasicek model.

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Random-Matrix-Theory

Analysis of the correlation structure of random systems and factor models.

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Bond-Pricing

Implementation of a fixed-rate bond pricer to compute various bond metrics (yield to maturity, price, duration, convexity...).

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Machine-Learning-Loan-Default

Loan default prediction using machine learning models (logistic regression, random forest, gradient boosting, neural network, stacked classifier).

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Unconstrained-Optimization

Unconstrained optimization methods.

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SVM-Optimization

Support Vector Classifier optimization using SMO and PEGASOS.

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