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1. MonteCarloMonteCarloPublic

   A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

   Jupyter Notebook 107 52

2. AlphaTradingAlphaTradingPublic

   An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implement APT model, BARRA's risk model and dynamic multi-factor mod…

   Jupyter Notebook 354 141

3. TreasuryFutureTradingTreasuryFutureTradingPublic

   A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change

   Jupyter Notebook 75 37

4. ExplicitImpliedVolatilityExplicitImpliedVolatilityPublic

   For the first time we derived a closed form solution for Black-Scholes impled volatility

   Mathematica 10 4

5. CUDACUDAPublic

   Using CUDA-accelerated Monte Carlo for option pricing. Developing a option pricing system in CUDA.

   C++ 7 8