A Windows application for derivatives pricing, XVAs and risk management. Including CVA, FVA, MVA, multiple curve construction, vanilla swaps, options, swaptions with negative rates, CDSs, and more.
An Excel add-in with worksheet functions for various analytical calculations, and macros to help interacting with the Windows application.
Machine Learning in Python
Jupyter notebooks and Keras networks to download, illustrating application of Machine Learning for regression and calibration problems.
A few pages about subjects we are currently interested in and are investigating, with preliminary results, open discussion and comments from readers.