QuantWeave
Modelling probability of an event using poisson process
We look at how to model the probabability of an event by using jumps in a poisson process.
Static replication using Breeden-Litzenberger
We use Breeden-Litzenberger to compute option prices numerically and replicate payoffs statically.
Replicating payoff of digital option
We explore payoff replication of exotic options using a portfolio on vanilla options. We investigate how well the replication is and what factors affect the payoff.
Using R to visualize data
We use popular R packages to visualize static data through histograms.
Motivations behind QuantWeave
A deep-dive into quantitative methods and data science to solve real-world problems. I started this blog as a medium to bridge quasi-methods to the world of finance.