structured-products

Cash flow and analytics engine for mortgage-backed securities (MBS)

Web application creating PDF backtesting reports for autocalls

Mathema Calculation Plus - Excel

Modular multi-asset-class Monte Carlo engine for pricing exotic derivatives and structured products with calibrated implied volatility surfaces (Heston, local vol, SVI) and a user-friendly Django web interface.

Construct volatility surfaces from live equity options data using no-arbitrage constraints, SVI calibration, and provide local vol, Greeks, and diagnostics.

Worst-of Phoenix autocallable pricer on Euro Stoxx 50 / S&P 500 / Nikkei 225: Lewis characteristic-function Heston calibrated to the live option surface, Cholesky-correlated multi-asset Monte Carlo, memory coupons and European knock-in, fair-coupon solver and the skew premium the desk hedges.

Pseudo delta neutral strategy built on top of Rivera ALM vaults.

Reference pricing and ML research platform for path-dependent structured products, with Monte Carlo pricing and monitored ML shadow models.

A vanilla and exotic options pricing repository

Claude skill: price structured derivatives from a declarative YAML spec

Structured products on Sui, settled on DeepBook Predict — a live BTC options chain, volatility desk, NLP-de-correlated event baskets, and principal-protected notes, all wallet-signed on testnet.

Crank–Nicolson finite-difference valuation of a knock-in autocallable on SMH, cross-checked against explicit FD to $0.004.

Interactive Monte Carlo pricer for Athena autocalls with local volatility, CIR rates, sensitivities and backtesting.

Monte Carlo pricing of autocalls, reverse convertibles, shark notes and credit-linked notes, with autocall probabilities, coupon distributions and greeks

Option pricing (BSM, trees, BAW, Longstaff-Schwartz, Asian MC), delta hedging, implied vol surfaces, a structured products platform and a market dashboard in Python

WIP teaching case: price a EU retail healthcare Phoenix autocallable (Monte Carlo, PRIIPs, launch/revise decision). Typst sources + exhibits.

Bermudan swaptions on a Hull–White trinomial tree and NIG calibration on EURO STOXX 50 via Lewis/FFT — Financial Engineering course, PoliMi

Derivatives pricing library and interactive web app: options, volatility surfaces, exotics, rates, structured products and credit risk, with tree, PDE, Monte Carlo and Fourier engines validated against QuantLib.

A connected quantitative finance research stack: structured product pricing, volatility surfaces, honest backtesting, market microstructure and risk, linked into end-to-end studies.