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heethsur/README.md

Hey there, welcome to Heeth's Github 👋

I am a graduate Financial Mathematics student with a passion for utilizing programming technologies to study, implement, and improve scalable quantitative models.

Project Summaries

Title Description Technologies
Pairs trading using Copulas (IAQF Competition) Developed and tested a joint probabilistic model to identify short term divergences in correlated assets and implement an alpha-generating pairs trading strategy Python and Jupyter
HAR Covariance Modeling Developed a lower frequency HAR Model for covariance forecasting using daily candlestick price data to test in the context of optimizing a mixed-asset portfolio of SP500, 10-Year US Treasuries, Gold, and WTI Crude Oil. Python, LaTex and BibTex (for publishing)
Monte Carlo Option Pricer Implemented an options pricer that requires option inputs to return price and associated greeks. Can price European, Asian, Barrier, Lookback, and Digital options. Introduced additonal variance reduction optimizations such as control variate, antithetic sampling, and quasi-random variables. C#, JavaScript

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  1. CopulasPairsTrading CopulasPairsTrading Public

    Repo for project files for the IAQF student competition. In collaboration with Erick Giron, Brisseida Villareal, and Abdullahi Abdullahi. We developed a copula based strategy for pairs trading betw…

    Jupyter Notebook 1

  2. HAR-Covariance-Modeling HAR-Covariance-Modeling Public

    Project files for HAR Covariance Forecasting Model.

    HTML

  3. MonteCarloOptionPricer MonteCarloOptionPricer Public

    Codefiles for a Monte Carlo Option Pricing Engine in C#

    C#