Project for DATA630012, Fudan University
- Processed data with Pandas, implemented models using NumPy and SciPy
- Solved for Markowitz investment portfolios using 50 stock data from 2010-2021, compared the investment strategy with long-term holdings of the HS300
- Implemented Binomial Trees for European and American option pricing, utilized Monte Carlo simulations based on the Black-Scholes model for option pricing, calculated the Greeks such as Delta, Gamma and Vega
- Calculated risk management metrics including Value at Risk, Expected Shortfall and Probability of Default