Currently, I am developing hestonpy, a Python library for:

• Options pricing
• Hedging strategies (delta of course but also delta-vega)
• Calibration of models

Supports Heston and Bates models: check it out here!

Main References:

• Arbitrage Theory in Continuous Time – T. Björk-The Volatility Surface – J. Gatheral
• Stochastic modelling of electricity and related markets - F. Espen Benth,
• The Elements of Quantitative Investing, G. A. Paleologo.
• Continuous-time Stochastic Control and Optimization with Financial Applications - H. Pham
• Electricity Derivatives – R. Aïd

My interests in few words: Quantitative Research & Machine Learning in Energy Trading:

• Energy Commodities (Power, Natural Gas, Oil), FX, Fixed Income
• Option Theory
  • Pricing
  • Hedging & Risk Management
  • Model Calibration
• Systematic Trading Strategies