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

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

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

Option prices and implied volatilities for terminal distributions other than lognormal

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

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

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

Fit implied vol curves to option prices using SVI and SABR

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

Arbitrage-free implied volatility surface engine — live SPY options via yfinance, Newton-Raphson IV extraction, SVI parameterization (Gatheral 2004), Durrleman no-arbitrage enforcement, and interactive Streamlit dashboard.

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)

Java Spring Collaborative Project built by Erik van Erp, David Moore, & Coren Frankel

Implied Volatility Calibration via raw-SVI

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

[NCCU Fall 2021] Option Valuation and Application Course Project