Quant Courses

Bootstrap an OIS discount curve and a SOFR 3M forward curve from market quotes, implement day-count conventions, and interpolate with cubic splines on log-discount factors.

Implement Nelson-Siegel and Nelson-Siegel-Svensson models, calibrate them to market zero rates, and interpret the level, slope and curvature parameters used by central banks worldwide.

Build Vasicek, CIR and Hull-White one-factor models from their SDEs, price zero-coupon bonds in closed form, calibrate Hull-White to the market term structure, and price caplets via Jamshidian decomposition.

Implement the HJM framework in one and two factors, derive the no-arbitrage drift restriction, simulate the full forward curve with Monte Carlo, and price caplets in both cases.

Implement the LIBOR Market Model from the ground up — single-factor and three-factor PCA — and price a receiver swaption and a zero-coupon bond option with Monte Carlo.

Price US Treasury bonds from a discount curve, compute yield-to-maturity, modified duration, convexity and DV01, and measure key rate sensitivities to parallel, twist and butterfly curve shifts.

Price corporate bonds with hazard-rate-adjusted discounting, solve for Z-spread, compute option-adjusted spread and asset swap spread, and calibrate hazard rates from CDS quotes.

Build a CDS pricer from the protection and premium leg integrals, compute par spreads and upfront payments under the post-2009 ISDA convention, and measure CS01 and IR01 sensitivities.

Bootstrap piecewise-constant hazard rates from CDS par spread quotes across maturities, derive the full survival curve Q(t), compute forward CDS spreads, and mark a seasoned CDS to market.

Model the loss distribution of a credit portfolio using the Gaussian copula, price equity, mezzanine and senior CDO tranches, extract base correlations, and implement the CLO waterfall.

Build a Hull-White trinomial lattice calibrated to the initial term structure via Arrow-Debreu state prices, price callable and putable bonds by backward induction, and extract the OAS.

Compute CMS convexity adjustments using Hagan static replication and linear TSR, calibrate the SABR smile to swaption data, price CMS spread options via Kirk's approximation, and build a swaption strip hedge.

Build an inflation analytics toolkit: price TIPS with the deflation floor, derive real and nominal curves via the Fisher equation, value ZCIS and YYIS, and implement the Jarrow-Yildirim model.

Build a full XVA engine: simulate interest rate swap exposure via Hull-White Monte Carlo, compute expected exposure (EE) and negative EE profiles, and calculate CVA, DVA and FVA adjustments.

Aggregate DV01 and key rate durations across a multi-bond portfolio, use PCA to decompose yield-curve risk, hedge with liquid instruments, and compute historical and parametric VaR.

Take a FastAPI quant pricing & risk API from an empty repository to a tested, containerised, autoscaling AWS deployment with CI/CD.

From raw option quotes to an arbitrage-free surface, then calibrate local and stochastic volatility models.