Options · Rates · Securitized Products

Pricing code for optionality, rates, and cash-flow risk.

American options. Barriers. MBS. Variance reduction. Greeks. G2++ rates.

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Methods

Pricing stack

Binomial and trinomial lattices for early-exercise features and path-dependent logic.
Least-squares Monte Carlo (LSMC) for American option exercise policies.
Finite-difference methods for price surfaces and Greeks.
Monte Carlo with antithetic and control variates.
G2++ interest-rate modeling for curve-sensitive fixed-income instruments.

Risk Stack

Optionality, rates, cash flows

Instrument	Modeling emphasis
American Options	Exercise boundary estimation and dynamic programming.
Barrier Options	Path dependence and boundary crossing behavior.
MBS	Rate-sensitive cash flows, optionality, and valuation under curve scenarios.
Rates Models	Two-factor dynamics for yield curve movement and discounting.