Python Financial ENGineering (PyFENG package in PyPI.org)
Delta hedging under SABR model
Stochastic volatility models and their application to Deribit crypro-options exchange
Financial Engineering in IRFX in C++
Code of numerical experiments in Master's thesis [TBD]
No-arbitrage SVI calibration is currently available.
Code Repo for my Undergrad Thesis
Closed-form solutions and fast calibration & simulation for SABR-based models with mean-reverting stochastic volatility
Pricing & calibration engine (15+ models; API + CLI + Streamlit UI)
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