Mathnician·Mar 9I got tired of QuantLib’s Python setup, so I wrapped 65+ pricing models into a REST API — here’s a…When I decided to rewrite my options pricing engine from Python to Rust, the first question I had to answer was: how do I know it’s…
Navnoor Bawa·Feb 9Tanaka’s Formula in Practice: How Hedge Funds Use Local Time to Trade Corridor Swaps, Timer…The mathematics of option hedging contains a hidden cost that Black-Scholes never priced: the cumulative expense of rebalancing positions…
Axolotl_0907·Jan 15Derivatives Pricing #2: Pricing and Hedging Path-dependent Options using the Binomial Tree
Petruskung·Dec 1, 2025Exploring VolGAN and its Application in Arbitrage-free Implied Volatility Surface Generation and…Introduction
Ezhu·Mar 27, 2025On the Predictive Power of Breeden-Litzenberger’s Risk-Neutral-DistributionOverviewA response icon1A response icon1
Navnoor Bawa·Mar 26, 2025Advanced Risk Scenario Analysis Framework for Options Portfolios: Beyond Single-Factor ModelsGitHub: github.com/NavnoorBawa/options-pricing
Navnoor Bawa·Mar 19, 2025Enhanced Local Volatility Surface Calibration for Quantitative Derivatives ResearchEnhanced Dupire local volatility implementation with 5.8× better accuracy. Robust numerics ensure 99.7% convergence for skewed markets.
