local-volatility

Low-latency options pricing engine in Rust. BSM, Black-76, Heston, Bates (jumps), Local Vol (Dupire), Monte Carlo (Euler/Andersen QE). Adaptive Gauss-Kronrod CF pricers, full analytic Greeks, forward-mode AD (incl. jump sensitivities), Halley IV solver, LM/DE global calibration, no-arbitrage repair, Rayon parallelism. CI + clippy, 0 warnings.

This project aims to strip the Equity Local Volatility surface and implement the associated PDE pricing method.

Mathema Calculation Plus - Excel

This repository provides TensorFlow compatible code for some stochastic volatility models widely used in derivatives pricing.

Modular multi-asset-class Monte Carlo engine for pricing exotic derivatives and structured products with calibrated implied volatility surfaces (Heston, local vol, SVI) and a user-friendly Django web interface.

Local volatility calibration on EURO STOXX 50 using the Andreasen-Huge (2010) algorithm — arbitrage-free implied volatility surface via finite-difference scheme and L-BFGS-B optimization

Construct volatility surfaces from live equity options data using no-arbitrage constraints, SVI calibration, and provide local vol, Greeks, and diagnostics.

Checks a derivative pricing model against closed-form, lattice, PDE and Monte Carlo reference engines, then reports what is wrong in plain language. Vanilla and exotic options; Black-Scholes, Heston and local volatility.

Local volatility calibration from implied volatility surfaces using Dupire’s formula, with Monte Carlo pricing of vanilla and exotic options.

Arbitrage-free volatility surfaces and equity exotics pricing on real options data: SSVI calibration, Dupire local vol, Heston (COS/QE), Monte Carlo + PDE engines, and model-risk studies

Dupire local volatility from a real SPY surface, and what flat-vol pricing costs on a barrier option: 32bp of spot. Live in-browser PDE.

Arbitrage-free options-volatility pipeline with eSSVI surfaces, Dupire local vol, PDE pricing, Monte Carlo validation, and transaction-cost-aware hedging.

Implied and local volatility surface from live SPY options, with Dupire local vol and an empirical study of VIX term structure vs realised vol

Calibrating the coupon strike of a 2-year multi-asset autocallable note on the Nikkei 225, the S&P 500 and the Hang Seng, priced by Monte Carlo under a local volatility surface.

Interactive Monte Carlo pricer for Athena autocalls with local volatility, CIR rates, sensitivities and backtesting.

Arbitrage-free SVI/SSVI implied-volatility surfaces, Dupire local volatility, and a from-scratch Crank-Nicolson PDE for exotic option pricing and hedging on SPX (OptionMetrics IvyDB, 2012-2024)

Finite-difference option pricing under a two-regime local-volatility model: European/American puts, convergence analysis, scenario study, empirical validation, and a Power BI dashboard (master's thesis).