Four projects in Quant and Financial Mathematics:
1. Portfolio Optimization with Liquidity constraints - Includes a customizable module that can generate portfolios on the efficient frontier given a finite set of stocks.
2. Hypothesis Testing of Log-Normality in Asset Returns - Proved that most asset returns are log normal distributed if one is looking at trading windows of size 50 days or smaller.
3. Study of limiting behavior of Black-Scholes results - Found all limiting behavior analytically of European call options pricing formulae with respect to time-to-expiry and spot-price.
4. Volatility Modeling and its effects on Hedged Profits - Implemented large-scale Monte Carlo simulation of stock paths with volatility modeling. Implemented a custom function that calculates hedging profits when volatility is assumed to be dynamic.