PinnedAlexander TsoskounoglouPricing Options with Fourier Series P3 — The Heston ModelUnlock the Power of Fourier Transform & The Heston Model to Master Vanilla Options Pricing — Dive into Part 3 of our Fourier Series…Sep 17, 2023Sep 17, 2023
PinnedAlexander TsoskounoglouPricing Options with Fourier Series P2The how to go from knowing what a Fourier Series is to being able to price Options under Black-.Jun 25, 20231Jun 25, 20231
PinnedAlexander TsoskounoglouPricing Options with Fourier Series P1Theory and intuition on how to use Fourier Series to price derivatives. Part 1 out of 3.Jun 19, 2023Jun 19, 2023
PinnedAlexander TsoskounoglouInsurance Portfolio Hedging with Neural NetworksHow neural networks can be used to hedge a liability containing both financial and actuarial risks satisfying VaR constraints.Apr 23, 2023Apr 23, 2023
PinnedAlexander TsoskounoglouCredit Valuation Adjustment for Interest Rate Swaps with CDS DataIn this blog post, I will guide you through the convoluted nature of calculating CVA for an IRS step by step. Please find the accompanying…Nov 19, 20221Nov 19, 20221
Alexander TsoskounoglouSimulating the Heston model with Quadratic ExponentialFast and accurate Python implementation of the Quadratic-Exponential method for simulating the Heston model.Jul 30Jul 30
Alexander TsoskounoglouOption Hedging with Neural NetworkHow to hedge an Option using Monte-Carlo and Neural Networks.Mar 19, 2023Mar 19, 2023
