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aurelienperez/README.md

Hi, I'm Aurélien Perez 👋

I'm a Quantitative Researcher at Compass Financial Technologies, working on systematic strategies and index construction.
I graduated from the MSc in Probability and Finance at Sorbonne University and École Polytechnique (previously known as DEA El Karoui), and I am an Associate Member of the French Institute of Actuaries.

🚀 Interests

  • Financial Mathematics, Stochastic Calculus, Reinforcement Learning, and Machine Learning applied to finance.
  • Mainly using Python, PyTorch, and R.

📬 Contact

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  1. sciphy-RL-for-DOCTR-L sciphy-RL-for-DOCTR-L Public

    Offline Reinforcement Learning with neural PDEs.

    Python

  2. gpu-heston-monte-carlo gpu-heston-monte-carlo Public

    GPU-accelerated Monte Carlo simulation for option pricing under the Heston model using CUDA.

    Cuda

  3. deep-hedging deep-hedging Public

    Deep Hedging under market frictions.

    Jupyter Notebook

  4. fair-valuation-illiquid-assets fair-valuation-illiquid-assets Public

    Utility indifference pricing in incomplete markets.

  5. Shiaroku/DeepOptimalOptionStopping Shiaroku/DeepOptimalOptionStopping Public

    This is a repository showcasing deep learning approaches for pricing American options. It implements two optimal stopping methods : Deep Longstaff-Schwartz and Deep Optimal Stopping.

    2 1

  6. PH PH Public

    Phase-type distribution fitting in R.

    R