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arnaudp-lab/README.md

Bonjour đź‘‹ // Hi

Futur ingénieur en finance quantitative. Étudiant à l'ENSTA Paris et inscrit au M1 de mathématiques appliquées de l'Institut Polytechnique de Paris. Passionné de programmation bas niveau, j'ai également des compétences en développement web.

Aspiring Quantitative Analyst in Finance. Currently pursuing a Master's degree in Applied Mathematics at Institut Polytechnique de Paris, while studying at ENSTA Paris. Passionate about low-level development and proficient in web development.

Compétences // Skills

Langages // Languages:

My Skills

Compétences mathématiques // Mathematical skills:

Optimisation, statistiques, calcul stochastique, EDP // Optimization, Statistics, Stochastic calculus, PDE

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  1. signature-vol-model signature-vol-model Public

    Replication of a paper by Eduardo Abi Jaber and Louis-Amand GĂ©rard. Features a C++ backend that can price an option under the signature volatility model in milliseconds & calibration on an IV surface.

    Jupyter Notebook

  2. fdaPDE/fdaPDE-core fdaPDE/fdaPDE-core Public

    The fdaPDE core library is a C++ header-only library for Partial Differential Equation discretization, computational geometry, unconstrained nonlinear optimization, linear algebra and much more.

    C++ 39 21

  3. minecraft_cpp minecraft_cpp Public

    Multi-threaded voxel rendering engine written from scratch in C++/OpenGL. There is also a cool terrain generator using 3D Simplex Noise.

    C++ 2

  4. asian-option-pricing asian-option-pricing Public

    MC simulation of the price of Asian Options using Variance-Reduction Monte-Carlo methods + full report w/ benchmarks on the process

    Jupyter Notebook 1 1

  5. density-estimation density-estimation Public

    The full code & research results from my internship at Politecnico di Milano's MOX department. It features the 50 page report I presented at ENSTA Paris

    R

  6. cac40-r-analysis cac40-r-analysis Public

    Analysis of the CAC40 index with various prediction models

    Jupyter Notebook 1