sarahrn

LevyJump

C++ code to price an option that has levy jump dynamics, using three methods: Fourier transform, Monte Carlo, and Finite Differences.

StochasticCalculus

R code implementing various option pricing techniques including the Euler scheme, implied volatility, finite differences, the Vasicek and CIR models, and the Black Scholes model

GZSpread

R code to assess predictive power of bond credit spreads on real GDP for one of my term papers at Princeton.

Py-Gsvhn-DigitStruct-Reader

Python library to read the Google Street View House Number data (digitStruct.mat)

augur-core

Augur back-end (Ethereum contracts)

bulk_mapper

Altdg bulk mapping tool for the merchant and domain mapper API https://developer.altdg.com/

ImageSequenceRecognitionSVHN

implied-vol

pyql

Cython QuantLib wrappers

street_view_house_numbers

Explored CNNs with TensorFlow to create models for cropped single-digit and original multi-digit images from SVHN dataset.

torch7