Senior quant developer and risk management professional with more than 15 years experience in various roles in the financial industry.
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DiffFusion.jl
DiffFusion.jl PublicForked from frame-consulting/DiffFusion.jl
High performance hybrid Monte Carlo simulation
Julia 1
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MultivariateChebyshev.jl
MultivariateChebyshev.jl PublicInterpolation of functions using Chebyshev polynomials
Julia 2
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InterestRateModelling_examples
InterestRateModelling_examples PublicExample for Interest Rate Modelling Lecture
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MathematicalFinance_examples
MathematicalFinance_examples PublicExamples for Mathematical Finance Lecture
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QuantLibPython
QuantLibPython PublicExample Python scripts for interest rate modelling and QuantLib usage
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