I'm Théophile from Paris. Currently, I am developing hestonpy, a Python library for:
- Options pricing
- Hedging strategies (delta of course but also delta-vega)
- Calibration of models
Supports Heston and Bates models: check it out here!
Main References:
- Arbitrage Theory in Continuous Time – T. Björk-The Volatility Surface – J. Gatheral
- Stochastic modelling of electricity and related markets - F. Espen Benth,
- The Elements of Quantitative Investing, G. A. Paleologo.
- Continuous-time Stochastic Control and Optimization with Financial Applications - H. Pham
- Electricity Derivatives – R. Aïd
My interests in few words: Quantitative Research & Machine Learning in Energy Trading:
- Energy Commodities (Power, Natural Gas, Oil)
- Option Theory
- Systematic Trading Strategies