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local-volatility

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tfrmma / options-pricing-engine-rs

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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.

rust finance derivatives low-latency quantitative-finance numerical-methods algorithmic-trading volatility black-scholes implied-volatility options-trading heston-model greeks options-pricing stochastic-volatility local-volatility dupire
  • Updated Jun 5, 2026
  • Rust

Weakpointplacentalmammal373 / vol-surface-engine

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

python monte-carlo derivatives quantitative-finance black-scholes financial-engineering implied-volatility svi options-pricing structured-products pricing-engine stochastic-volatility streamlit volatility-smile quant-finance volatility-surface local-volatility arbitrage-free
  • Updated Jun 7, 2026
  • Python

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