Welcome

This is a collection of notes exploring a number of topics in Quantitative Finance (QF). The idea is to use Python 🐍to illustrate the theoretical concepts and help you to get a better understanding of each topic.

My aim is to provide an open-source repository where people interested in a career in QF can find these concepts covered in a rigorous manner while keeping the practitioners point of view into consideration.

Contents

Stochastic Processes

• 1. Brownian Motion
• 2. Brownian Motion with Drift
• 3. Geometric Brownian Motion
• 4. Vasicek Model/Process
• 5. Cox–Ingersoll–Ross process
• 6. Bessel Processes Part I
• 7. Bessel Processes Part II
• 8. Bessel Processes Part III

Other Topics

• American Options Pricing using the Longstaff-Schwartz Algorithm

Author

I have 8 years of experience working as a Quant. Currently, I am working in the Cross-Asset front office quant team at Bank of America. My previous experience includes the development and implementation of mathematical models for Counterparty Credit Risk, Market Risk, and Wholesale Credit Risk, as well as Validation in Retail Credit Risk.

I hold a PhD in Mathematics/Statistics from the University of Warwick where I spent 4 amazing years focusing on non-linear stochastic processes. Before coming to the UK, I obtained an MSc in Probability and Statistics, and a BSc in Applied Mathematics in Mexico.

I regularly write here about diverse topics.

Connect with me via:

• 🦜 Twitter

• 👩🏽‍💼 Linkedin

• 📸 Instagram

• 👾 Personal Website

Note

• This project is under construction 🦺 and notes will be released on an ongoing basis 🌱

• If you like this project, please give it a star in GitHub ⭐️

Thanks for visiting ✨