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Kushtylish/README.md

Hi, I'm Kush 👋

Quantitative finance projects focused on derivatives pricing, portfolio optimization, and numerical methods.

Featured:

  • options-pricer — European and American pricing via Black-Scholes, binomial tree, and Monte Carlo, with Greeks, implied vol, and convergence analysis.

  • portfolio-optimizer — Rolling backtest comparing sample vs Ledoit-Wolf covariance in max-Sharpe and min-variance optimization. Live demo included.

  • volatility-surface — Implied vol surface from real SPY chains, with no-arbitrage checks and interactive 3D dashboard.

  • limit-order-book — Price-time priority matching engine with Poisson order flow, market impact analysis, and live dashboard.

  • nse-options — Black-76 pricing validation and smile-screening framework for NSE Kenya options, with daily automated reports via GitHub Actions.

Skills

Languages: Python

Libraries: NumPy · pandas · SciPy · scikit-learn · matplotlib · Plotly · Streamlit · pytest

Quantitative finance: Derivatives pricing (Black-Scholes, binomial trees, Monte Carlo) · Greeks and finite-difference validation · Implied volatility inversion · Volatility surfaces and no-arbitrage constraints · Portfolio optimization (mean-variance, min-variance) · Covariance shrinkage (Ledoit-Wolf) · Backtesting with transaction costs · Statistical estimation and out-of-sample validation reproducible notebooks · modular Python packages Market microstructure · limit order books · order flow simulation · Poisson processes · market impact analysis

Engineering: Git · virtualenv · unit testing · Streamlit deployment ·

Pinned Loading

  1. options-pricer options-pricer Public

    European and American option pricing via Black-Scholes, binomial tree, and Monte Carlo, with Greeks, implied volatility, and convergence analysis.

    Jupyter Notebook

  2. portfolio-optimizer portfolio-optimizer Public

    Rolling backtest comparing sample vs Ledoit-Wolf covariance in max-Sharpe and min-variance portfolio optimization.

    Jupyter Notebook

  3. volatility-surface volatility-surface Public

    Implied volatility surface from real SPY option chains, with smile/skew analysis, no-arbitrage checks, and an interactive Plotly + Streamlit dashboard.

    Python

  4. limit-order-book limit-order-book Public

    Price-time priority limit order book matching engine with order flow simulation and microstructure analysis.

    Python

  5. nse-options nse-options Public

    Black-76 pricing validation and smile-analysis framework for NSE Kenya options, with daily automated reports.

    Python