rstreppa
Quantitative researcher. Research interests: evaluated pricing, TSA models, supervised learning, blockchain technology, functional programming
New York
Pinned Repositories
algorithms-Basics
Basic Algorithms, Data Structures and Design Patterns
blockchain-rsblockchain
BlockChain in C++11 implementing some core features of Bitcoin logic (P2P Node communication, Hash function, Merkle Trees, Coinbase Transactions etc.)
connectivity-SQL
Code in various languages providing connectivity to relational databases
Cpp
Full projects, tutorials, problems, book exercises.
forecast-Long_Term_Projection_SARIMA
Long term projection of short term SARIMA estimate of raw liquidity need
LeetCode
LeetCode problems, mostly on Algorithms and Data Structures and solved in Python, C++ and Java
strategies-fracdiff
Fractional Differentiation Algorithms based on FFT
valuation-callables-HullWhite
Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.
valuation-convertibles-Goldman1994
Valuation of Convertible Bonds on a Binomial Tree (E. Derman et al.)
valuation-OptionStrategies
Valuation of Vanilla and Exotic option strategies (Butterfly, Risk Reversal etc.) with widget animations
rstreppa's Repositories
rstreppa/valuation-callables-HullWhite
Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.
rstreppa/valuation-convertibles-Goldman1994
Valuation of Convertible Bonds on a Binomial Tree (E. Derman et al.)
rstreppa/valuation-OptionStrategies
Valuation of Vanilla and Exotic option strategies (Butterfly, Risk Reversal etc.) with widget animations
rstreppa/algorithms-Basics
Basic Algorithms, Data Structures and Design Patterns
rstreppa/forecast-Long_Term_Projection_SARIMA
Long term projection of short term SARIMA estimate of raw liquidity need
rstreppa/strategies-fracdiff
Fractional Differentiation Algorithms based on FFT
rstreppa/blockchain-rsblockchain
BlockChain in C++11 implementing some core features of Bitcoin logic (P2P Node communication, Hash function, Merkle Trees, Coinbase Transactions etc.)
rstreppa/forecast-Vasicek_MCMC
Forecast of LIBOR via Vasicek modeling and MCMC Metropolis-Hastings estimation of the coefficients
rstreppa/LeetCode
LeetCode problems, mostly on Algorithms and Data Structures and solved in Python, C++ and Java
rstreppa/connectivity-SQL
Code in various languages providing connectivity to relational databases
rstreppa/Cpp
Full projects, tutorials, problems, book exercises.
rstreppa/forecast-CIR_Kalman
Forecast of LIBOR via CIR modeling and Kalman estimation of the coefficients
rstreppa/hello-world
My first repository on github
rstreppa/Java
Full projects, tutorials, problems, book exercises.
rstreppa/strategies-PerfIndicators
Various Performance Indicators for strategies with plotting tools
rstreppa/test_1
test using Copilot