Jake Mc Leroth — Academic Portfolio

About

A selection of projects and assignments completed during my BCom (Hons) and MCom in Financial Risk Management. Click GitHub above to view the code.

Projects

Stochastic Modelling

Variance Reduction for Asian Options

Variance reduction techniques for pricing Asian options via Monte Carlo simulation, implementing the n-simplex method. Co-authored with Nicole Lyne.

Extreme Value Theory

EVT Analysis of Bid-Ask Spreads

Block Maxima (GEV) and Peaks Over Threshold (GPD) approaches applied to bid-ask spreads of FirstRand Limited.

Honours Research Project

Expected Returns in Treasury Bonds

Predictability of expected returns in US and SA treasury bonds using yield and inflation factors, based on the Cieslak & Povala (2015) framework. Co-authored with Nicole Lyne.

Market Risk

Value at Risk

Five assignments covering normal linear, historical simulation, Monte Carlo, options portfolio, and backtesting VaR across a range of asset classes.

Quantitative Investing

The Gerber Statistic

Exploration of the Gerber statistic as a robust co-movement measure for portfolio optimisation, benchmarked against historical covariance and Ledoit-Wolf shrinkage.