Aigars Rosenberg (@sle14)
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sle14

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Top repositories

1

Vol-surface-parametrisation

Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations
Python
26
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2

Options-market-making-using-a-stochastic-control-approach

Derivation of analytical expressions of optimal quotes for market making in options.
Python
14
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3

Bayesian-filtration

Analysis of Bayesian filtration using practical examples of application of Kalman and Particle filters on estimation problems of hidden state
Jupyter Notebook
1
star