GitHub Repositories

Selected research code and teaching material.

Research Code

• DRO Sensitivity Analysis with Constraints

  Code for constrained distributionally robust sensitivity analysis and static-hedging model-risk computations.

  GitHub repositoryRelated preprint

• DRO Sensitivity Analysis for BSDEs and RBSDEs

  Companion material for sensitivity analysis of distributionally robust BSDE and reflected BSDE problems.

  GitHub repositoryRelated preprint

• DRO Higher-Order Sensitivity Analysis

  Research code for higher-order sensitivity expansions in classical and causal distributionally robust optimization.

  GitHub repositoryRelated preprint

• Adapted Wasserstein Gradient Flow for Weak Optimal Transport

  Numerical material related to adapted Wasserstein gradient flows and entropy-regularized weak optimal transport.

  GitHub repositoryRelated preprint

Teaching Material

• Summer Bootcamp

  Student resources for the Summer Bootcamp taught in the M.S. in Financial Risk Engineering at NYU Tandon.

  GitHub repository

• Stochastic Calculus and Option Pricing

  Student resources for the graduate Option Pricing and Stochastic Calculus course in the M.S. in Financial Risk Engineering at NYU Tandon.

  GitHub repository

• Winter Math Bootcamp

  Student resources for the Winter Math Bootcamp: From Brain Teasers to Black-Scholes, taught in the M.S. in Financial Risk Engineering at NYU Tandon.

  GitHub repository