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1. monte_carlo_option_pricer monte_carlo_option_pricerPublic

   Monte Carlo pricing engine for derivative valuation for European and Asian under risk-neutral dynamics, with integrated variance reduction and Greeks estimation..

   Jupyter Notebook 5

2. RL-Portfolio-with-Momentum-Filter RL-Portfolio-with-Momentum-FilterPublic

   This project trains a PPO reinforcement learning agent to optimize portfolio weights using PCA-derived market factors as state features. The agent is trained to outperform an equal-weight benchmark…

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3. factor_risk_model- factor_risk_model-Public

   Multi-factor risk model (Momentum, Size, Volatility, Value, Beta) built on cross-sectional regressions. Estimates factor covariance, specific risk, Euler risk contributions, and active tilts. Inter…

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4. MBS-Cash-Flow-and-Prepayment-Model MBS-Cash-Flow-and-Prepayment-ModelPublic

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5. Gerber-covariance-matrix- Gerber-covariance-matrix-Public

   Implementation of the Gerber covariance estimator — a threshold-based, sign-dependent measure of dependence that emphasizes extreme co-movements and mitigates noise inherent in sample covariance ma…

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6. cpp cppPublic

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