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Double degree at Hfwu Nurtingen (DE) and University of Pisa (IT)
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Double degree at Hfwu Nurtingen (DE) and University of Pisa (IT)
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MatCuns/README.md

Overview of my Projects

Portfolio Construction & Allocation

  • Covariance Based Dynamic Risk Parity Portfolio with Volatility Targeting Python
  • Market Regime Detection with Hidden Markov Models and Regime Based Portfolio Allocation Python

Market Risk & Performance Analysis

  • Performance and Risk Analysis of UBS vs MSCI World ETF with GARCH-Based Volatility Modeling R LaTeX
  • Quantitative Risk Analysis of the FTSE MIB Python
  • Market Timing vs Time in the Market in the Long Term Python

Derivatives & Computational Finance

  • Option Pricing Engine with Monte Carlo Simulation under GBM and Black–Scholes BenchmarK C++

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  1. Covariance-Based-Dynamic-Risk-Parity-Portfolio-with-Volatility-Targeting Covariance-Based-Dynamic-Risk-Parity-Portfolio-with-Volatility-Targeting Public

    Volatility targeted Risk Parity portfolio with a 12% volatility target across 20 USA sector assets and a bond allocation. Built on 1990 to 1999 data and tested out of sample from 2000 to 2026 using…

    Jupyter Notebook 1

  2. Performance-and-Risk-Analysis-of-UBS-and-the-MSCI-World-ETF-with-GARCH-Based-Portfolio-Allocation Performance-and-Risk-Analysis-of-UBS-and-the-MSCI-World-ETF-with-GARCH-Based-Portfolio-Allocation Public

    An in depth analysis of UBS vs MSCI World CHF hedged ETF with stylized facts of returns, QQ plot normality checks, multi method VaR forecasting and violation backtesting, time varying volatility mo…

    TeX

  3. Market-Timing-vs-Time-in-the-Market-in-the-Long-Term Market-Timing-vs-Time-in-the-Market-in-the-Long-Term Public

    Does market timing really deserve so much overthinking? This project compares lump sum, annual, monthly and daily investing, buy the dip, ATH buying, moving average and just cash using €50,000 acro…

    Jupyter Notebook 1

  4. Quantitative-Risk-Analysis-of-the-FTSE-MIB Quantitative-Risk-Analysis-of-the-FTSE-MIB Public

    This repository contains a financial analysis in python of the FTSE MIB. From raw data I conduct an historical risk analysis, calculate key financial metrics (Annualized Returns / Volatility, Drawd…

    Jupyter Notebook 2

  5. Market-Regime-Detection-with-Hidden-Markov-Models-and-Regime-Based-Portfolio-Allocation Market-Regime-Detection-with-Hidden-Markov-Models-and-Regime-Based-Portfolio-Allocation Public

    This project identifies hidden market regimes using a Hidden Markov Model trained on returns, volatility, and drawdowns. The detected regimes are used to implement a dynamic portfolio allocation st…

    Jupyter Notebook

  6. Option-Pricing-Engine-with-Monte-Carlo-Simulation-under-GBM-and-Black-Scholes-Benchmark Option-Pricing-Engine-with-Monte-Carlo-Simulation-under-GBM-and-Black-Scholes-Benchmark Public

    C++ implementation of a Monte Carlo engine to price European call and put options under the Geometric Brownian Motion assumption. The project simulates asset price paths, computes discounted payoff…

    C++