Low-latency options pricing engine in Rust. BSM, Black-76, Heston, Bates (stochastic vol + jumps), Local Vol (Dupire). Analytic Greeks, fast IV solver (Halley), monotone cubic spline surfaces. Parallel batch pricing via Rayon.

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.

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.

Mathema Calculation Plus - Excel

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 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

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