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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.

  1. Welcome to my xwiki page
  2. Content
  3. Open questions
    1. [Equity] Fractional Brownian motion.
    2. [IRD] From Libor to Sofr.
    3. [Crypto] SLV with jumps for Bitcoin
    4. [Trading] Neural networks for vol trading
  4. Create your application

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?

modelSLVSLV with jumps
Deep OTM call price~0.0002~0.02 (x100)

[Trading] Neural networks for vol trading

 

Create your application

creating your own applications with App Within Minutes (AWM).