Curriculum

European Option Price and Greeks Calculator

what is the model price of a European option, and what moves it?

Volatility Smile and Surface Explorer

how does implied volatility vary across strikes and expiries, and can a surface built from quotes be trusted to price options that are not quoted?

03 / PROJECT

Bond Price and Duration Explorer

how does a yield change affect a bond, how good are the quick risk numbers, and does a DV01 hedge actually remove the risk?

04 / PROJECT

Portfolio Risk and Diversification Dashboard

which holdings contribute to portfolio risk, and does a risk-minimising allocation deliver lower risk out of sample?

05 / PROJECT

Drawdown and Tail-Loss Monitor

how bad have losses on a US equity allocation been, and can the one-number daily risk estimate sent to the board be trusted on the days that matter?

06 / PROJECT

Minimal Strategy Backtester

does a 50/200-day moving-average rule on the S&P 500 really beat buy-and-hold once the accounting is done properly, and does the answer survive a different start date and an honest out-of-sample test?

07 / PROJECT

Monte Carlo Pricing and Convergence Lab

can the desk's Monte Carlo engine be trusted? When it prints a price with a 95% interval, is the interval honest? Is variance reduction safe? For a real exotic, how much of the uncertainty is numerical and how much is the model?

08 / PROJECT

Order-Book and Slippage Calculator

before a bitcoin order is sent to Coinbase, what will it cost against the mid, what drives that cost (spread, depth or fee), and would splitting it over the next minute be cheaper?

09 / PROJECT

Polymarket Bitcoin Probability Explorer

for a prediction-market contract such as "BTC above $90k at 08:00 UTC on 30 Oct 2026", what exactly is being priced, how does the price compare with a transparent model and with the BTC options market, and would the model's probabilities have been reliable in the past?

10 / PROJECT

TR — Treasury curve risk and hedge validation

This project asks a rates risk manager's question: should a long-duration bond book be hedged with a parallel (10-year DV01-matched) hedge or with a constrained key-rate hedge, and how often should the hedge be reset? The book and hedge bonds are hypothetical, valued on the Federal Reserve's fitted GSW Treasury curve (daily, 1961–2026). The study replicates GSW (2007), Litterman–Scheinkman (1991) and Ho (1992). It then replays 94 monthly hedge reviews with daily revaluation, P&L attribution, an append-only decision ledger, stress scenarios and labelled injected failures.

11 / PROJECT

VR — Volatility forecasting and risk-limit calibration

Next-day variance forecasts for **BTCUSDT**, with **ETHUSDT** as external validation, built from Binance 1- and 5-minute bars (2022-01 to 2026-08). The forecasts feed a replayed daily risk-limit service for a hypothetical long BTC position: USD 1m 97.5% ES budget, USD 30m cap, costs assumed at 10 bp.

12 / PROJECT

MV: Real-time macro forecasting (US industrial production)

Does a richer model improve a one-month forecast of US industrial production growth when it may only use data published on the forecast date? This project answers that with the Philadelphia Fed Real-Time Data Set (vintage values) and ALFRED release dates.

13 / PROJECT

AL — Deposit betas, repricing risk and funding stress (KeyBank N.A.; SVB stress case)

A treasury/ALM workflow built only from public data. It replicates Drechsler, Savov & Schnabl (2017) deposit betas on every FDIC-insured bank. It reconstructs KeyBank N.A.'s balance sheet and repricing ladder from Call Reports and replays 18 quarterly report arrivals (2022Q1–2026Q2) with monthly rate updates, planning NII, measuring EVE and outflow cover, and recording decisions in an append-only ledger. SVB at end-2022 is the stress case.

14 / PROJECT

PR — Portfolio risk forecasting and rebalancing control (Select Sector SPDR book)

Replicates Engle & Colacito (2006) — comparing covariance forecasts by the realised variance of the portfolios they build — on the Fama–French 10 industries (daily, 1995–2026), with Ledoit–Wolf shrinkage, Jagannathan–Ma constraints, the DeMiguel et al. 1/N benchmark and a cost break-even. The model chosen on 1995–2018 then runs a monthly-rebalanced, long-only book of the 11 Select Sector SPDR ETFs from 2019-01 to 2026-09 with a holdings and cash ledger (distributions, splits, costs), pre-trade controls, approvals and three labelled drills.

15 / PROJECT

FD — Financial filing change and deterioration monitor (50 large U.S. companies)

Replicates Cohen, Malloy & Nguyen (2020, *Lazy Prices*) on SEC filings — cosine, Jaccard and diff similarity of each 10-K/10-Q against its year-earlier counterpart, by document, MD&A and risk-factor section — and tests both channels: next-month returns of changers vs non-changers, and whether the next report deteriorates. Baselines: ratio-only (Piotroski-style) and text-only. An analyst workbench replays 2023–2026 in EDGAR acceptance-time order with a five-review quarterly budget, ranked alerts with excerpts, review states (open / investigate / escalate / dismiss / expired), amendments, late filings, non-reliance events and firm exits.

16 / PROJECT

IV — Independent model validation and change control (VR limit model)

Validates the VR project's BTC exposure-limit model the way a model risk function would under SR 26-2 principles: a model inventory, immutable content-addressed candidate artefacts, an independent benchmark engine written from the protocol text, a regression and stress suite (Kupiec, Christoffersen, Basel traffic light, ES residuals, FZ0, look-ahead invariance, a Hull–Suo simulation, a Danielsson et al. risk ratio, Green–Figlewski estimation error), an approval workflow recorded in an append-only ledger, a controlled version change with an injected defect, twelve monthly monitoring checkpoints, and a late-data restatement that cannot rewrite approvals.

17 / PROJECT

MM — Inventory-aware market-making research (Coinbase BTC-USD)

This project replicates Avellaneda & Stoikov (2008) on 69 full sessions of Coinbase BTC-USD:

18 / PROJECT

EX — Execution replay and transaction-cost diagnostics (Coinbase BTC-USD)

This project replicates Cont, Kukanov & Stoikov (2014) and tests Almgren & Chriss (2001) on 69 full sessions of Coinbase BTC-USD.