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MatCuns / Quantitative-Risk-Analysis-of-the-FTSE-MIB

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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, Drawdowns, Sharpe/Sortino Ratios), non-normality metrics (Skewness/Kurtosis), and compare three VaR models: Historic, Gaussian, and the Cornish-Fisher method.

finance risk-analysis risk stock-market sharpe-ratio quantitative-finance risk-assessment financial-analysis volatility quantitative-analysis finance-analysis borsa-italiana risk-free-rate
  • Updated Feb 18, 2026
  • Jupyter Notebook

NiharJani2002 / Two-Factor-Option-Pricing-Basket-and-Other-Multi-Asset-Options-in-C-

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This C++ program prices multi-asset options (Basket, Rainbow, Exchange, Spread) using Monte Carlo simulation based on Geometric Brownian Motion, supporting interactive parameter input, correlation modeling via Cholesky decomposition, and sensitivity analysis.

correlation cpp simulation monte-carlo confidence-intervals option-pricing sensitivity-analysis volatility input-validation object-oriented-programming payoff cholesky-decomposition spread-option geometric-brownian-motion basket-option random-numbers multi-asset rainbow-option exchange-option risk-free-rate
  • Updated Jul 1, 2025
  • C++

NiharJani2002 / One-Factor-Black-Scholes-in-C-

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A lightweight C++ tool that prices European call and put options using the Black–Scholes formula, computes all key Greeks (Δ, Γ, Θ, Vega, Rho), and lets you run quick ATM/ITM/OTM scenario checks—all via a simple command‑line interface.

cpp vega delta gamma option-pricing theta volatility input-validation rho black-scholes european-options normal-distribution numerical-stability geometric-brownian-motion scenario-analysis interactive-interface risk-neutral greeks-calculatio risk-free-rate put-call-parity
  • Updated Jul 1, 2025
  • C++

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