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felipejpenagos/README.md

Felipe Jaramillo-Penagos

Financial engineering and mathematics at Duke (B.S.E. Risk, Data, and Financial Engineering, December 2026). I build statistical and computational models for markets and risk.

Now

  • Capstone research on how macroeconomic shocks propagate through financial systems, advised by Dr. Mark Borsuk and Dr. Peng Sun
  • Probability-distribution modules for Multivarious, Prof. Henri P. Gavin's open-source Python library for probability, optimization, and stochastic modeling

Research

Implied volatility surface
Modeling Market Geometry
Implied volatility · PCA · QuantConnect · 2025

Fits daily implied-volatility surfaces, decomposes their changes into level, skew, and curvature, and trades that momentum with delta-neutral straddles and strangles.

Paper · Repository 		Mean-variance efficient frontier and capital market line
Modern Portfolio Optimization Approaches
Mean-variance · Risk parity · QuantConnect · 2026

Tests mean-variance and risk parity over 18 years of walk-forward rebalancing on seven ETFs, and proposes a hybrid that caps each asset's share of portfolio risk.

Paper · Repository

Projects

Project Summary
Options Data and a Covered-Call Book LSEG option data, an implied price surface, and a Reg T covered-call backtest, published as live sites
Water Supply Optimization Fifty-year stochastic design of a drinking-water system under climate uncertainty
Quantitative Risk Management Covariance repair, VaR and ES, risk parity, attribution, and option pricing in Python
Loan Default Prediction A credit-risk pipeline built around an imbalanced dataset

Tools: Python (NumPy, pandas, SciPy, scikit-learn, PyTorch), MATLAB, C++, Git, Bloomberg, LSEG

felipe.jaramillo@duke.edu · LinkedIn

Pinned Loading

  1. Options-Market-Geometry Options-Market-Geometry Public

    Research paper: daily implied-volatility surfaces decomposed with PCA into level, skew, and curvature, and that momentum traded with delta-neutral straddles and strangles, backtested in QuantConnect.

  2. cornelius-idc-bot cornelius-idc-bot Public

    Autonomous radio-coordinated Arduino robot - Duke ECE 110 IDC, Team 5

    C++

  3. Markowitz-vs-Risk-Parity-Portfolio-Optimization Markowitz-vs-Risk-Parity-Portfolio-Optimization Public

    Research paper: mean-variance optimization vs. risk parity in an 18-year walk-forward backtest on seven ETFs, plus a risk-constrained hybrid (RC-MVO) that caps each asset's share of portfolio risk.…

    Jupyter Notebook

  4. hpgavin/multivarious hpgavin/multivarious Public

    a multitude of various .py functions for multivariable things like signal processing, fitting models, ODE's, linear systems, probability distributions, and optimization

    Python 3 4

  5. fintech535 fintech535 Public

    Expired-options data from LSEG, 3D option price surfaces, and a covered-call book with Reg T margin, published as static sites on GitHub Pages. Duke FINTECH 535.

    HTML

  6. Uncertainty-Design-and-Optimization Uncertainty-Design-and-Optimization Public

    A rule-based trading strategy for 19 stocks (momentum, trend confirmation, pairs trading, drawdown control) with eight parameters tuned by stochastic search and stress-tested for robustness. MATLAB…

    MATLAB