Python Financial ENGineering (PyFENG package in PyPI.org)

Delta hedging under SABR model

Stochastic volatility models and their application to Deribit crypro-options exchange

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

This project aims to construct the Equity Implied Volatility surface under the SABR model.

High-performance implied volatility surface library with a C++ engine (SABR/SSVI/eSSVI) and Python/Streamlit dashboard. Features arbitrage enforcement, vega-weighted calibration, Lee moment bounds, full audit trail, and 327 tests passing.

Financial Engineering in IRFX in C++

C++20 quantitative finance library for volatility surface modelling and derivatives pricing.

Code of numerical experiments in Master's thesis [TBD]

Fit implied vol curves to option prices using SVI and SABR

Code Repo for my Undergrad Thesis

SABR caplet pricing: MC simulation, Hagan (2002) benchmark, and SABR calibration to Heston-generated market vols. Built for ERDOS Institute Fall 2025 Quant Finance Bootcamp

Calibrate the SABR stochastic volatility model to SPX implied volatility surfaces and benchmark smile-aware delta-hedging strategies against the Black–Scholes baseline.

Quant libraty with pricing power of C++ wrapped inside python classes

Pricing & calibration engine (15+ models; API + CLI + Streamlit UI)

Provide a high-performance implied volatility surface engine with C++ core and Python dashboard for accurate options pricing and risk management.