MBS Hedging
MBS Hedging
A standalone note on hedging MBS against interest rate risk, with swaps and swaptions.
Risk Engine Project
Python Risk Engine
Risk engine, tooling, and implementation for market-facing systems.
Crypto ETFs
Crypto ETF Hedging
A standalone note on hedging a vanilla crypto ETF against the underlying coin, with rolling beta, basis, drawdown, and hedge P&L plots.
Links
The main artifacts in one place.
Thesis
The full doctoral thesis.
Paper
Kairosis on arXiv, with the method and evaluation laid out in full.
GitHub
Main code and experiments.