AustinTI / Derivatives-and-Machine-Learning-Application

Projects regarding Derivative Pricing and Modeling

Financial ML Application & Derivatives

Projects: Various Application for Machine Learning

Fraud Detection

1. Fraud Detection for Credit Card

   Use CART, SVM, Neural Network, AdaBoost, GradientBoot, and Random Forest to detect the Fraud from Credit Card Portfolio

Portfolio OptimiZation

1. PCA.Autoencoder Portfolio

   Use PCA and Autoencoder to construt optimization Portfolio

xVA

1. Calculate CVA use GP for Option Portfolio

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• Extended Reference: Dual Momentum Strategy

2. CVA for IRS

Exotic Equity Option

1. Quanto Option
2. Maximum of Two Option

Rate Derivative Model

1. Rate Instruments