Projects

• Time dependent heston model
• Modeling and Pricing of Variance Swaps for Local Stochastic Volatilities with Delay and Jumps
• LIBOR Market Model with Stochastic Basis
• Series Expansion of SABR Joint Density
• Optimal Hedging of Variance Derivatives

Pricing and Valuation

• Black Scholes Option Pricing

Simulation

• NIG Process Simulation
• Variance Gamma Process Simulation
• Compound Poisson Process Simulation
• Multivariate Brownian Motion Generation
• Heavytailed Process Simulation using (Mixed Normal)

Calibration

• Calibrating Mixed Normal Distribution

Estimation

• Implied Volatility Surface under BS Model
• Implied Volatility Surface under Heston Model
• Portfolio Optimization
• Value at Risk Estimation