Automated monthly fund P&L attribution report: Breaks down portfolio performance by security, sector and geography vs budget and prior month
Greek-based daily PnL attribution for an 8-leg SPY option book: adding second-order terms (gamma, vanna, volga) cuts the unexplained residual 87.6% to 0.196% of daily abs PnL, with FRTB risk-factor tests and a SABR-delta hedging comparison.
PnL attribution and alpha decay framework for FinBERT sentiment signals — Information Coefficient decay curves, Spearman rank correlation, statistical significance bands, rolling signal quality monitoring.
Synthetic limit order book simulator and market-making research lab with imbalance signals, inventory-aware quoting, adverse selection, PnL attribution, and ETF premium/NAV experiments.
Derivatives pricing and risk system: 40Y SOFR OIS bootstrap, SABR surface calibration, Greek P&L attribution with FRTB PLA testing, and VaR/ES stress framework documented to SR 11-7.
A Python simulator for studying passive quoting, inventory control, adverse selection, markouts, and risk limits in market making.
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