This project aims at jointly modeling physical and transition risk within a Merton-like credit risk model, building up on [Bouchet and Le Guenedal, 2020]
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Updated
Sep 27, 2022 - Jupyter Notebook
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merton
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Option pricing: Simple app for vanilla option pricing using Black-Scholes model and Merton model via Fourier Transform. Spot prices for the underlying are fetched from Yahoo Finance API.
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Updated
Sep 12, 2021 - Jupyter Notebook
Masters dissertation numerically solving Hamilton-Jacobi-Bellman (HJB) equation in an extension of Merton's portfolio allocation problem using finite difference.
numerical-methods
pde-solver
finite-difference-method
hamilton-jacobi-bellman
portfolio-optimisation
merton
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Updated
Aug 15, 2024 - Jupyter Notebook
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