8000 samueledelia (Samuele D'Elia) · GitHub
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samueledelia/README.md

Hi there, i'm Samuele 😊

I'm a mathematical engineer with a passion for Mathematics and Finance. I've gained experience as a quantitative analyst in the energy trading and as a model validator in banking risk management sector. I'm eager to further develop my skills in advanced programming for scientific computing, option pricing, and risk management.

Always curious and driven, I’m excited to continue learning and growing in the field of quantitative finance.

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  1. Monotone-Two-Factor-HJB-Solver Monotone-Two-Factor-HJB-Solver Public

    PACS Project: The project aims to develop a fully implicit, unconditionally monotone numerical scheme for solving the two-factor uncertain volatility model, ensuring stability and convergence to th…

    C++

  2. Italian-imbalance-forecasting Italian-imbalance-forecasting Public

    Master's Thesis project: Predictive Models for Zonal Imbalance Sign Forecasting in the Electricity Market

    Jupyter Notebook

  3. Recovery-Risk---Final-Project-Financial-Enigeering-AY-2022-23 Recovery-Risk---Final-Project-Financial-Enigeering-AY-2022-23 Public

    The aim of this project is to implement the MC simulation with at least 100,000 scenarios in the case of stochastic recovery rate and compute the corresponding VaR.

    MATLAB

  4. Local_volatility_project Local_volatility_project Public

    MATLAB 1

  5. gaussian-quadrature-integration gaussian-quadrature-integration Public

    This project implements a flexible framework for numerical integration using Gaussian quadrature rules over triangulated domains, applied to functions on triangular meshes. It supports multiple qua…

    C++

  6. ode-solver ode-solver Public

    C++

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