ssvi

Production-quality volatility surface library for Rust

Production-grade quantitative volatility surfaces, Greek analytics, and backtesting signals. 2.6M+ IV ops/sec.

A quantitative research project exploring hybrid volatility forecasting. Integrates parametric surface models (SVI/SSVI) and Risk-Neutral Density (RND) extraction with Deep Learning (MoE) forecasting 10-day total variance changes.

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.

SPX Option Implied Volatility Surface using SVI Parameterisation, its variants and the Heston Stochastic Volatiltiy Model. Implements and studies interpolation and smoothing techniques used by Bloomberg for Equity Option Vol Surface Construction.

Arbitrage-aware derivatives pricing, volatility surfaces, Heston calibration, and auditable options research.

SPX implied volatility surface construction, no-arbitrage diagnostics, and PCA factor decomposition. SSVI calibrated, audited math, 500 trading days from OptionMetrics.

Evidence-controlled model-risk research for SPX option pricing with Heston calibration, SVI/SSVI challengers, uncertainty quantification, stress testing, DVE diagnostics, GPU repricing, and OOD validation.

Volatility surface interpolation library — SVI/SSVI/SABR parametrization, arbitrage-free checks, term structure models

Deterministic Heston/SSVI volatility-surface research with quote validation, calibration, static-arbitrage diagnostics and synthetic evidence.

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

Arbitrage-free implied volatility surfaces on SPY options: raw SVI, constrained SVI and SSVI, butterfly/calendar arbitrage audit, Dupire local vol and barrier pricing under local vs flat vol. Tested, CI on Python 3.11–3.13.