volatility-smile

OIPD computes the probabilities of an asset's future price as implied by the options market.

A dashboard to visualize cryptocurrency implied volatility surfaces constructed with option data from Binance.

Streamlit IV surface visualizer (Yahoo Finance + Black–Scholes). Explore IV vs expiry and strike/log-moneyness.

SABR Implied volatility asymptotics

Closed-form solutions and fast calibration & simulation for SABR-based models with mean-reverting stochastic volatility

This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.

Option prices and implied volatilities for terminal distributions other than lognormal

European option pricing under Black-Scholes-Merton: prices, Greeks, implied volatility, and sensitivity surfaces. Typed, tested, NumPy-only — no SciPy, so it runs in a browser. The published document shows where the model breaks, generating a volatility smile and inverting it.

SABR calibration and volatility-smile analysis for interest-rate derivatives.

A package that utilises QT and OpenGL graphics to visualise realtime 3D volatility surfaces and analytics.

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

These reports were developed for the course Stochastic methods for finance using real data from yahoo finance and analyzing it via excel VBA

Which functional form does your financial data follow? 32 candidate forms ranked by held-out likelihood, with guardrails.

Fit implied vol curves to option prices using SVI and SABR

Option pricing when the terminal stock price follows a normal or Student t distribution

A Jupyter Notebook that provides tools for analyzing and pricing stock options using the Implied Volatility and Monte Carlo Simulation.

Strike Gravity: A Unified Framework for Roundness, Gamma Exposure, and Reflexive Volatility at Psychological Price Levels.

Develops Local Volatility model to compute min variance delta, adjusted for Vol Smile and changes in vol futures surface curve (allows more precise delta hedging)