╭────────────── Welcome to my Github 👋 ──────────────────╮😄 ┃ I am aresearcher at La Sapienza University with a ┃ ┣━━ 💾 Repositories ┃ PhD in particle physics from Durham University. My ┃ ┃ ┣━━ Heston Model ┃ research interests include Monte Carlo simulations, ┃ ┃ ┣━━ Black-Scholes and Greeks ┃ stochastic calculus, deep learning and NLP. ┃ ┃ ┣━━ Deep Hedging ┃ ┃ ┃ ┗━━ Extract Title & Authors ┃ ┃ ┗━━ 📚 Particle Physics Articles ┃ Feel free to reach out! ┃ ┣━━ Electric Dipole Moments & New Forces ╰──────────────────────────────────────────────────────────╯ ┣━━ The QCD Axion & Unification ┗━━ Asymptotic Safety
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La Sapienza University
- Rome, Italy
- alexisplascencia.com
- https://scholar.google.com/citations?user=noAPPaYAAAAJ&hl=en
- in/alexis-plascencia
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Black-Scholes-and-Greeks
Black-Scholes-and-Greeks Public🏛️ I implement the Black-Scholes model, the Greeks and Delta-hedging. I also overview and implement Kirk's approximation to price the spead option on two futures contracts.
Jupyter Notebook
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Heston-model
Heston-model Public📈 I implement the Heston model for pricing and calculate the price of a call/put option. In this model, the volatility of the asset is a stochastic process.
Jupyter Notebook
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Deep-Hedging
Deep-Hedging Public🗠 Implementation of the Deep Hedging algorithm. The aim is to use a neural network architecture to hedge a portfolio of derivatives without computing the "greeks".
Jupyter Notebook 2
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RL-Stock-Trader
RL-Stock-Trader Public🤖 Stock trader that uses Reinforcement Learning to maximize the profit on a set of stocks.
Jupyter Notebook
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algo-trading-API
algo-trading-API Public💎 Live trading crypto on DeFi exchanges. Data analytics using the Deribit API and Dune Analytics.
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WorldQuant-alpha-trading
WorldQuant-alpha-trading Public🌐 Documentation on the WorldQuant BRAIN market simulator and explicit examples of alpha signals.
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