Production-quality volatility surface library for Rust
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Aug 23, 2026 - Rust
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ssvi
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Production-grade quantitative volatility surfaces, Greek analytics, and backtesting signals. 2.6M+ IV ops/sec.
python rust finance quant derivatives market-data quantitative-finance black-scholes duckdb hedge-fund ssvi options-trading-bot algorithmic-trading-quantitative
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Sep 4, 2026 - Python
A quantitative research project exploring hybrid volatility forecasting. Integrates parametric surface models (SVI/SSVI) and Risk-Neutral Density (RND) extraction with Deep Learning (MoE) forecasting 10-day total variance changes.
machine-learning quantitative-finance implied-volatility svi options-pricing mixture-of-experts volatility-surface ssvi risk-neutral-density
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Jan 27, 2026 - Jupyter Notebook
High-performance implied volatility surface library with a C++ engine (SABR/SSVI/eSSVI) and Python/Streamlit dashboard. Features arbitrage enforcement, vega-weighted calibration, Lee moment bounds, full audit trail, and 327 tests passing.
cmake cpp derivatives option-pricing quantitative-finance risk-management implied-volatility sabr-model streamlit volatility-surface black-sholes-model ssvi
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Feb 20, 2026 - Python
SPX Option Implied Volatility Surface using SVI Parameterisation, its variants and the Heston Stochastic Volatiltiy Model. Implements and studies interpolation and smoothing techniques used by Bloomberg for Equity Option Vol Surface Construction.
option-pricing stochastic-volatility-models implied-volatility blackscholes heston-model svi heston-stochastic-volatility implied-volatility-forecasting impliedvolatility implied-volatility-surface ssvi implied-volatilities
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Mar 29, 2026 - Python
Volatility surface interpolation library — SVI/SSVI/SABR parametrization, arbitrage-free checks, term structure models
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May 7, 2026 - Python
Arbitrage-free BTC/ETH volatility surfaces and executable relative-value research
python options cryptocurrency quantitative-finance algorithmic-trading volatility backtesting svi deribit ssvi
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Aug 21, 2026 - Python
SPX implied volatility surface construction, no-arbitrage diagnostics, and PCA factor decomposition. SSVI calibrated, audited math, 500 trading days from OptionMetrics.
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May 17, 2026 - Python
Deterministic Heston/SSVI volatility-surface research with quote validation, calibration, static-arbitrage diagnostics and synthetic evidence.
python pytest quantitative-finance numerical-methods heston-model options-pricing volatility-surface ssvi static-arbitrage
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Aug 27, 2026 - Python
SPY implied volatility surface: IV extraction, per-slice SVI calibration, arbitrage verification (Durrleman, calendar), and SSVI surface fit
python calibration scipy derivatives quantitative-finance spy black-scholes implied-volatility svi options-pricing financial-modeling yfinance equity-derivatives volatility-surface risk-neutral ssvi arbitrage-free gatheral durrleman no-arbitrage
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Jun 4, 2026 - Python
Provide a high-performance implied volatility surface engine with C++ core and Python dashboard for accurate options pricing and risk management.
cmake cpp derivatives option-pricing quantitative-finance risk-management implied-volatility sabr-model streamlit volatility-surface black-sholes-model ssvi
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Sep 7, 2026 - Python
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