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arthur-ru/README.md

I'm Arthur Rubio

Fixed Income Risk & PnL

Rates and volatility, from the risk side. Here I rebuild the pricing machinery from first principles: SOFR curve bootstrapping, swaption pricing under Black-76, SABR smile calibration. Mostly Python.

Background in mathematics and statistical modelling — Télécom Paris, two peer-reviewed papers.

Reach out to me via LinkedInLinkedin!

💻 My Skills:

🛠️ Programming languages:

python r c java matlab

📊 AI/ML:

pytorch tensorflow pandas opencv

📁 Database:

sql mysql sqlite

🔎 Others:

git JIRA

Wishing you a great day

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  1. Stocks-Modelling Stocks-Modelling Public

    S&P500 stock market prediction using PyTorch & pandas.

    Jupyter Notebook 1

  2. portfolio-manager portfolio-manager Public

    Jupyter Notebook