Option pricing: Simple app for vanilla option pricing using Black-Scholes model and Merton model via Fourier Transform. Spot prices for the underlying are fetched from Yahoo Finance API.
This project aims at jointly modeling physical and transition risk within a Merton-like credit risk model, building up on [Bouchet and Le Guenedal, 2020]
Masters dissertation numerically solving Hamilton-Jacobi-Bellman (HJB) equation in an extension of Merton's portfolio allocation problem using finite difference.
This tool implements Robert Merton's retirement withdrawal strategy using stochastic modeling of asset returns (geometric Brownian motion). It separates essential and discretionary spending and provides a dynamic withdrawal strategy that adapts to market conditions.
Cette application permet d'évaluer la probabilité de défaut d'une entreprise en appliquant le modèle de Merton.
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