Monte Carlo Methods for Option Pricing and Greeks
Using PyTorch to easily compute Option Greeks first using Black-Scholes and then Monte Carlo methods.
Posts
Mixture Density Network for Forecasting Realized Volatility
Using a mixture density neural network implemented in PyTorch to forecast the distribution of future realized volatility.
Bayesian Autoregressive Volatility Forecasting
Using a simple bayesian autoregressive model to forecast future volatility
Comparison of Volatility Estimators
Comparing Garman-Klass estimator to 5-minute Realized Volatility estimator.
A Most Diversified ETF Portfolio
Constructing a portfolio from a selection of ETFs to maximize the diversification ratio