Investigate how mutual funds leverage credit derivatives by studying their routine filings to the SEC using NLP techniques 📈🤑

An Algo that Calibrates Base Correlation for CDO Tranches in Two Iteration to Machine Precision

An Investigation into Price Surfaces for Credit Derivatives and the 2008 Credit Crisis - MSc Finance (Credit, 90%), University of London

Study notes and notebooks for OTC derivatives pricing, Monte Carlo, FDM, volatility surface, IR and credit derivatives.

Bond pricing, FRA, interest rate swaps and CDS pricing framework - payer/receiver swaps, premium/protection legs, MTM P&L. Built in Python.