High-performance Rust quantitative finance library.
an optimal fixed-income portfolio to immunize $9.3B in inflation-indexed pension liabilities over an 80-quarter horizon. Implemented Linear Programming in R to minimize cost while managing credit scores, inflation-linkage caps, and liquidity constraints
Lightweight portfolio optimization for pension funds
Stylised UK DB pension scheme model with Smith-Wilson curve extrapolation, dual-curve discounting, 33-way LDI overlay sweep, and a 2022 gilt crisis collateral tracker. Python pipeline + interactive Plotly dashboard.
Coursework and notes from ISFA Actuarial Science program
End-to-end Python implementation of Huang's (2025) continuous-time RL methodology for asset-liability management. Features model-free soft actor-critic with adaptive exploration, entropy regularization, and Euler-Maruyama SDE simulation. Includes 7 baselines (SAC/PPO/DDPG/CPPI/ACS/MBP), parallelized execution, and Wilcoxon statistical validation.
End-to-end Python framework for robust pension fund management under parameter uncertainty. Implements three Distributionally Robust (DRO) Asset-Liability Management (ALM) formulations (Mixture, Box, Wasserstein) with GBM scenario generation, convex optimization (LP/SOCP), and comprehensive backtesting. Based on 2026 research by Ghahtarani et al.
🤖 Leverage continuous-time reinforcement learning to optimize asset-liability management and enhance financial decision-making.
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