danniecuiuc
derivatives quant, lifelong learner
University of Illinois at Urbana-ChampaignNew York, US
Pinned Repositories
altdata
internship research project
anderson-lake-python
Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature.
bda
big data analytics, machine learning, logistic regression, lasso regression, cross validation, random forest, bagging - fin580
dspyfin
Advanced Data Science and Python for Finance Projects - Backtrader Python
fe
financial engineering projects fin514 - complex derivatives pricing, Monte Carlo simulations, binomial tree modeling, FD(cn, explict) methods, PDE derivation
frm
quant risk modeling fin567 - VaR, ES, EVT, NGARCH, ARMA models & counterparty credit risks
json2yaml
A command-line utility to convert a JSON file (.json) to YAML (.yml)
option_pricing_api_ui
A Derivatives Pricing App
PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
trade_covid19
quant trading algos develop amid covid-19
danniecuiuc's Repositories
danniecuiuc/anderson-lake-python
Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature.
danniecuiuc/json2yaml
A command-line utility to convert a JSON file (.json) to YAML (.yml)
danniecuiuc/option_pricing_api_ui
A Derivatives Pricing App
danniecuiuc/PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
danniecuiuc/trade_covid19
quant trading algos develop amid covid-19
danniecuiuc/altdata
internship research project
danniecuiuc/bda
big data analytics, machine learning, logistic regression, lasso regression, cross validation, random forest, bagging - fin580
danniecuiuc/dspyfin
Advanced Data Science and Python for Finance Projects - Backtrader Python
danniecuiuc/fe
financial engineering projects fin514 - complex derivatives pricing, Monte Carlo simulations, binomial tree modeling, FD(cn, explict) methods, PDE derivation
danniecuiuc/frm
quant risk modeling fin567 - VaR, ES, EVT, NGARCH, ARMA models & counterparty credit risks
danniecuiuc/awesome-compose
Awesome Docker Compose samples
danniecuiuc/backtrader
Python Backtesting library for trading strategies
danniecuiuc/bloomberg-bmc
Bloomberg Terminal Exercises
danniecuiuc/Financial-Models-Numerical-Methods
Collection of notebooks about quantitative finance, with interactive python code.
danniecuiuc/js-yaml
JavaScript YAML parser and dumper. Very fast.
danniecuiuc/Lognormal_Forward_LIBOR_Model_Calibration
Used 10 cap and 10*10 swaption prices to calibrate the volatility parameters in Lognormal Forward Rate Model based on 5 different model specifications using MATLAB. Then plotted the volatility surfaces against the actual volatility surfaces to compare the performance of each specification. Finally run a Cascade calibration to explicitly solve the volatility parameters.
danniecuiuc/Mastering-Python-for-Finance-source-codes
Accompanying source codes for my book 'Mastering Python for Finance'.
danniecuiuc/qinvest
quant invest and trading algorithms and cases fin580
danniecuiuc/quantus
danniecuiuc/reinforcement-learning-an-introduction
Python Implementation of Reinforcement Learning: An Introduction
danniecuiuc/sas
SAS® Base Programmer certification
danniecuiuc/stochastic-volatility
three stochastic volatility model: Heston, SABR, SVI
danniecuiuc/stock_market_reinforcement_learning
This project provides a stock market environment using OpenGym with Deep Q-learning and Policy Gradient.
danniecuiuc/TradingGym
Trading and Backtesting environment for training reinforcement learning agent or simple rule base algo.
danniecuiuc/zipline
Zipline, a Pythonic Algorithmic Trading Library