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1. black-scholes-pricer black-scholes-pricer Public

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2. var-backtesting var-backtesting Public

   Which VaR model survives a crisis? Five one-day VaR / ES models (historical, normal, Student-t, GARCH-filtered HS, Monte Carlo) backtested 2006-2025 with Kupiec, Christoffersen, Basel traffic ligh…

   Jupyter Notebook

3. yield-curve-bootstrap yield-curve-bootstrap Public

   Exact calibration of US Treasury and German Bund curves under four interpolation schemes (incl. Hagan-West monotone convex): forward rates, key-rate DV01, curve PCA and Euro-Bund futures basis (con…

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4. volatility-surface-svi volatility-surface-svi Public

   Arbitrage-free implied volatility surfaces on SPY options: raw SVI, constrained SVI and SSVI, butterfly/calendar arbitrage audit, Dupire local vol and barrier pricing under local vs flat vol. Teste…

   Jupyter Notebook 1