Quant Projects

Derivatives pricing, portfolio construction, machine learning, and market microstructure — every project ships with reproducible code, honest benchmarks, and an interactive dashboard.

Almgren-Chriss liquidation trajectories and the efficient frontier of execution cost versus risk

Optimal Trade Execution — Almgren-Chriss and Reinforcement Learning
Market Microstructure — The Almgren-Chriss closed-form trajectory minimises expected implementation shortfall plus a risk-aversion-weighted variance, tracing an efficient frontier from TWAP-like liquidation to aggressive front-loading; market-impact parameters are calibrated from intraday data, and a PyTorch PPO agent trained in a gymnasium execution environment learns to deviate from the static schedule on intraday momentum and volume, outperforming AC, TWAP, and VWAP under non-stationary impact.
beats AC · TWAP · VWAP
Options pricing surfaces and Greeks dashboard

Vanilla Options Pricing — Black-Scholes, Binomial Tree, and Greeks
Pricing & Hedging — Black-Scholes and CRR binomial tree from scratch, full Greeks set (delta, gamma, vega, theta, rho), pricing and Greek surfaces across moneyness and expiry, scenario P&L attribution, and an interactive Streamlit dashboard.
BS + CRR · full Greeks
Efficient frontier portfolio chart

Mean-Variance Efficient Portfolios
Portfolio Optimization — Constructing and visualizing the efficient frontier using mean-variance optimization, with analysis of minimum variance and maximum Sharpe ratio portfolios.
min-var · max-Sharpe
Asian options Monte Carlo simulation

Asian Options Monte Carlo Pricing
Pricing & Hedging — Monte Carlo simulation methods for pricing arithmetic and geometric Asian options, including variance reduction techniques.
MC · variance reduction