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  • Hamburg, Germany

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Popular repositories Loading

  1. energy-options-mc-pricing energy-options-mc-pricing Public

    Pricing energy options (focus on German power) with MC and jump-diffusion mean-reversion model, including stochastic volatility, seasonality and regime filtering. Model parameters are calibrated on…

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  2. fixed-income fixed-income Public

    A toolkit-class for fixed income basics, like Nelson-Siegel and Svensson, incl. dynamic with Extended Kalman Filter, VAR forecasting of YC, scenario generation, CVaR optimizer, bond pricing and more

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  3. Portfolio-optimization Portfolio-optimization Public

    A Python class for portfolio construction, risk-aware optimization and rolling backtests. Supports empirical mean shrinkage, Ledoit–Wolf covariance, EWMA, CVaR, risk-parity, turnover-aware Sharpe o…

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  4. hybrid-volatility-forecasting-ml-trading hybrid-volatility-forecasting-ml-trading Public

    Regime-conditional volatility forecasting framework using HAR-RV as a baseline and XGBoost on either residual vol or directly on log(RV), implemented for Germany and France electricity markets. Met…

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  6. flexpwr-quantchallenge23-solution flexpwr-quantchallenge23-solution Public

    Data analysis and intraday trading strategy prototypes for German power market. Beware of limitations. My solution to FlexPower Quant Challenge from 2023.

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