Tools for Stochastic Simulation using diffusion models (R).
Populating agent-based models with agents who give rise to dynamics and scenarios of interest
Implemented stochastic CVaR model for the optimal asset allocation together with the Bootstrapping and the Monte Carlo scenario generation methods.
Some work I did for an interview for a job as a data scientist optimisation specialist
This project aims to synthesize realistic traffic scenarios from specifications in Temporal Logic. This work was done as part of my thesis @ TUM.
Scripts and data used for the master's thesis "Portfolio selection with ES and regular vine copulae with EVT marginals" presented at the Wirtschaftsuniversität Wien in summer 2023. Code is structured for the purposes of the thesis and may not comply with best coding standards.
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