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.

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

Mathema Calculation Plus - Excel

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.

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

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).

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

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.

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