Mathematics of Derivative Pricing

Engaged in a rigorous exploration of mathematical finance, focusing on the theoretical and computational frameworks underlying derivative pricing. Covered core topics including interest rates, bond mathematics, portfolio theory, forwards/futures pricing, hedging strategies and options valuation using both discrete (binomial) and continuous-time (Black-Scholes) models. Implemented complete simulation workflows in Python to evaluate strategies such as protective puts, covered calls and delta hedging.

• Applied optimization techniques (e.g., Sharpe Ratio maximization) for portfolio design.
• Modeled and visualized forward/futures pricing under dividend conditions using arbitrage-based logic.
• Derived and numerically validated the Black-Scholes PDE and martingale-based pricing through Monte Carlo simulations.
• Developed strategic insights for options trading using Greeks, payoff engineering and volatility structures.
• Project GitHub: github.com/VatshVan/Mathematics_Of_Pricing_Derivatives
• Project Report: https://drive.google.com/file/d/1f_SgJi7vGpL9-7TIhU96r7zdb4itlnQH/view?usp=sharing