Robin Guilliou's repositories
Option-Pricing
Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
Vasicek-Calibration
Simulation of interest rate paths and calibration of the Vasicek model.
Bond-Pricing
Implementation of a fixed-rate bond pricer to compute various bond metrics (yield to maturity, price, duration, convexity...).
Random-Matrix-Theory
Analysis of the correlation structure of random systems and factor models.
Machine-Learning-Loan-Default
Loan default prediction using machine learning models (logistic regression, random forest, gradient boosting, neural network, stacked classifier).
Unconstrained-Optimization
Unconstrained optimization methods.
SVM-Optimization
Support Vector Classifier optimization using SMO and PEGASOS.
Crypto-Analysis
Application of data science methods to a cryptocurrencies dataset.
Linear-Algebra
Implementation of various techniques to solve linear systems of equations.
Puzzles
Probability problem solved numerically.