Aaron De la Rosa – Medium

Aaron De la Rosa

Aaron De la Rosa

Pricing European options using CRR (Cox Ross Rubinstein) Binomial Tree in C++

The Cox, Ross, and Rubinstein (CRR) binomial tree model provides a numerical method for valuing options, including European options. Here’s…

Aug 7

Aug 7

Aaron De la Rosa

Implementing Heston Model in C++

The Heston Model is a popular stochastic volatility model used in financial mathematics to describe the evolution of the volatility of an…

Aug 7

Aug 7

Aaron De la Rosa

IMPLEMENTING ICHIMOKU TRADING STRATEGY USING PYTHON

The Ichimoku system is a Japanese charting and technical analysis method and was published in 1969. Ichimoku “Strategy” is a technical…

Mar 6

IMPLEMENTING ICHIMOKU TRADING STRATEGY USING PYTHON

Mar 6

Aaron De la Rosa

HESTON MODEL CALIBRATION USING QUANTLIB IN PYTHON

The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source…

Jan 12

HESTON MODEL CALIBRATION USING QUANTLIB IN PYTHON

Jan 12

Aaron De la Rosa

Heath-Jarrow-Morton (HJM) Model

The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rates curves — instantaneous forward rate…

Jan 7

Heath-Jarrow-Morton (HJM) Model

Jan 7

Aaron De la Rosa

Portfolio Optimization and VaR using Monte Carlo Simulation and Scipy Optimize

We want to estimate the highest Sharpe ratio, also known as the “mean-variance optimal” portfolio using a Stock Portfolio.

Dec 23, 2023

Portfolio Optimization and VaR using Monte Carlo Simulation and Scipy Optimize

Dec 23, 2023

Aaron De la Rosa

Implementing Monte Carlo vs Bootstrapping

Both methods are used to generate simulated price paths for a given asset, or portfolio of assets but they use slightly differing methods…

Dec 20, 2023

Implementing Monte Carlo vs Bootstrapping

Dec 20, 2023

Aaron De la Rosa

Implementing Bachelier vs Black Scholes Models in Python

The Bachelier Model is a mathematical model used to price European Options. It’s based on the assumption that the underlying asset follows…

Oct 30, 2023

Implementing Bachelier vs Black Scholes Models in Python

Oct 30, 2023

Aaron De la Rosa

Aaron De la Rosa

MSc. in Finance. Senior Data Scientist. Quant. Python , C++, R,ML and DL Specialist at XtremeQuantleap. https://www.linkedin.com/in/aaron-de-la-rosa-4b2b68227/

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