tanvir_ahmed_sydney
Tanvir Ahmed
Recently Published
Bitcoin 30 day Value at risk
Using Monte-Carlo simulation, geometric Brownian motion, and ARIMA models to estimate the worst 1% case for price of bitcoin in 30 days
Monte-carlo simulation for VAR for call and put options portfolio (reproducible)
Estimation of 99% VAR and 98% ES for a portfolio of call and put options using Monte-Carlo simulation.
https://www.linkedin.com/in/tanvir-ahmed-5351b0191/