A collection of my own Quantitative Finance guides covering various topics.
Sixteen option pricers over six stochastic models including Heston, Bates, SABR and rough Bergomi, spanning analytic, lattice, finite-difference, COS Fourier and Monte Carlo methods.
Delta-matched risk reversal: slope vega, irreducible vanna, and a dollar-reconciling attribution. Companion to Yan (2026).
intro to financial mathematics; spring 26
Prices a real SPY option three ways (Black-Scholes, Monte Carlo, CRR binomial tree), cross-checks them against each other, computes Greeks closed-form vs. finite-difference, and compares the methods on speed and use case.
Simulates day-by-day delta-hedging of a real SPY call option and measures how the realized hedging error diverges from Black-Scholes theory, across thousands of Monte Carlo price paths.
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