Ciaran Gaffney
Mathematics at the University of Edinburgh · Options and volatility
I write research notes on volatility, market data and the maths behind them, each with code and an honest look at what didn't work.
Latest research notes
Projects
QuantSoc trading algorithm
Supervised research project building a live trading algorithm.
In progressBlack–Scholes and stochastic volatility study
Where the Black–Scholes–Merton assumptions fail in practice, and how to model volatility better.
Paused until summer