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1. bonus-certificate-bates-pricing bonus-certificate-bates-pricing Public

   Pricing and delta-hedging a Bonus Certificate under the Bates model (FFT calibration + Monte Carlo), MATLAB

   MATLAB

2. motor-insurance-pricing-glm-gam motor-insurance-pricing-glm-gam Public

   Motor insurance technical tariff with GLM/GAM frequency-severity models and spatial effects, R

   R

3. norway-mortality-lee-carter norway-mortality-lee-carter Public

   Lee-Carter mortality modelling and projection for Norway, including COVID-19 excess mortality, R

   R

4. stochastic-pension-projection stochastic-pension-projection Public

   Stochastic projection of pension benefits with portfolio simulation and stress testing, R

   R

5. structured-products-pricing structured-products-pricing Public

   Pricing a partially principal-protected note and an ATM digital on MCD stock, R

   R

6. mean-variance-portfolio-optimization mean-variance-portfolio-optimization Public

   Long-only mean-variance optimisation of 12 US stocks: efficient frontier, tangency portfolio and optimal allocation, Excel Solver

   R