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1. Asian-Options-Pricing-Quasi-Monte-Carlo Asian-Options-Pricing-Quasi-Monte-Carlo Public

   Compared Quasi-Monte Carlo (Sobol Sequences) with Standard Monte Carlo approach for Asian Option Pricing along with Sobol Sequence implementation from scratch.

   Jupyter Notebook

2. Bayesian-Credit-Risk-Particle-Filter Bayesian-Credit-Risk-Particle-Filter Public

   A particle filter approach to modeling credit risk at the portfolio-level of a bank, with Bayesian updates to the loss distributions based on default events that occur in a month.

   C++

3. Jumps-in-Asset-Pricing-Models Jumps-in-Asset-Pricing-Models Public

   Implementations of stochastic processes with Jumps for Asset Pricing Models

   C++

4. Variance-Reduction-Techniques Variance-Reduction-Techniques Public

   Implementations of variance reduction methods for pricing financial options using Monte Carlo simulation.

   C++

5. Modeling-Short-Rate Modeling-Short-Rate Public

   Stochastic modeling of short rate used in Asset Pricing Models

   C++

6. Brownian-Motion Brownian-Motion Public

   Implementations of classical Brownian motion processes and variants for stochastic simulation in finance, physics, and Monte Carlo methods.

   C++