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1 follower · 6 following
  • Seoul, Korea

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Achievements

Achievement: Pull SharkAchievement: QuickdrawAchievement: YOLO

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NavyBlueCheese/README.md

Hi, I'm Navy!

I'm a mathematics student based in Korea. My interests are in FX derivatives, cross-border capital flows, and the quantitative side of trading and derivatives pricing.

Outside of academics, I draw comics and work on graphic design, mostly illustration-based and abstract work. I also do web design and web development projects on the side.

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  1. fx-vrp fx-vrp Public

    The FX variance risk premium (jump risk, discrete hedging error, and transaction costs)

    Python 1

  2. tsmom-band tsmom-band Public

    Cost-aware time-series momentum on a $20 IBKR account

    Python 1

  3. fx-vol-surface fx-vol-surface Public

    FX implied volatility surface engine: delta conventions, Reiswich-Wystup market-strangle calibration, arbitrage checks

    Jupyter Notebook 1

  4. carry-trade-monitor carry-trade-monitor Public

    Single-page React app to monitor G10 currency carry trades

    JavaScript 1

  5. pairs-trading-backtest pairs-trading-backtest Public

    Python 1

  6. g10-fx-analysis g10-fx-analysis Public

    analysis of G10 FX return dynamics in R: correlation structure, fat-tail distributions, rolling Sharpe ratios, and volatility clustering.

    R