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Last modified by Nikita Kapchenko on 2019/10/03 12:42
Welcome to my xwiki page
This page contains the short resume of my projects.
Content
The purpose of this wiki page is to document my projects in quantitative finance, computational algorithms and neural networks available on my GitHub.
It's a test tt type the link label
Sandbox for more demo content
Open questions
[Equity] Fractional Brownian motion.
Why? It allows to model the roughness of volatility
How to imply? Calibrate parameter "H" to match short term skew.
[IRD] From Libor to Sofr.
[Crypto] SLV with jumps for Bitcoin
How to manage jumps?
model | SLV | SLV with jumps |
---|---|---|
Deep OTM call price | ~0.0002 | ~0.02 (x100) |
[Trading] Neural networks for vol trading
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