https://github.com/junfanz1/uchicago-finmath-project-lab
Financial Mathematics models in Quantitative Research Strategies
https://github.com/junfanz1/uchicago-finmath-project-lab
Last synced: 3 months ago
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Financial Mathematics models in Quantitative Research Strategies
- Host: GitHub
- URL: https://github.com/junfanz1/uchicago-finmath-project-lab
- Owner: junfanz1
- License: mit
- Created: 2020-05-12T23:04:00.000Z (about 5 years ago)
- Default Branch: master
- Last Pushed: 2024-12-15T15:25:33.000Z (6 months ago)
- Last Synced: 2024-12-15T16:31:43.171Z (6 months ago)
- Homepage:
- Size: 2.56 MB
- Stars: 4
- Watchers: 1
- Forks: 1
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# UChicago FinMath Project Lab
Financial Mathematics models in Quantitative Research Strategies
Several slides of short notes on Quantitative Research ideas, mostly regarding Stochastic Volatility models.
See also:
***
(1) Feb 19 slides, https://lnkd.in/gAg7p5S
__Topics:__
1 Functional PCA
2 Stochastic Volatility Inspired (SVI) and Ensemble Carr-Pelts(ECP)
3 Zumbach effect in volatility modeling from microstructure views
***
(2) Feb 29 slides, https://lnkd.in/gSSg4TE
__Topics:__
1 Quasi Monte Carlo (QMC)
2 SABR model
3 Nonparametric Time Series, Spectral Analysis and High Frequency Data
4 Miscellaneous: from Physics to Quant - Hamiltonian Monte Carlo
***
(3) March 9 slides, https://lnkd.in/gY-zStg
__Topics:__
1 Wasserstein Distance
2 Local Stochastic Volatility Models (LSVM)
3 Particle Filtering in Numerical Option Pricing
***
(4) April 7 slides, https://www.linkedin.com/feed/update/urn:li:activity:6653092285737242624/
__Topics:__
1 Carr-Wu method: Volatility Surface based on dynamics of implied vol
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Feel free to contact me at: [email protected]