Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network
Dynamic Hedging Backtesting Engine
Avellaneda-Stoikov market maker on Polymarket binary BTC options. Black-Scholes fair value, delta hedge on Hyperliquid perpetuals, PPO RL variant for comparison.
Short gamma scalping on Deribit BTC/ETH options, delta-hedged via perpetuals. Avellaneda-Stoikov pricing with live vol surface, funding-adjusted sizing, and config-driven risk controls. Kill switch on RV spikes, drawdown breaches, and adverse funding. Asyncio stack: market data, strategy, execution, and risk engine running as independent loops.
A quantitative trading framework for options pricing, volatility surface calibration, and automated statistical arbitrage using Heston and Bates models.
Dynamic Delta-Hedging Strategy on Real Market Data (NVDA).Dynamic Delta-Hedging Strategy on Real Market Data (NVDA). Analysis of the impact of volatility estimators (Garman-Klass vs Close-to-Close) on the performance of a self-financing replicating portfolio
Monte Carlo simulation of Black-Scholes delta-hedging to analyze the impact of rebalancing frequency on the hedging error
Formally verified quantitative finance — Lean 4 proofs + Python/Cython execution
A Python-based trading bot designed to identify and trade mispriced options using the Schwab API. The bot automatically submits limit orders on options it detects as mispriced, and once the orders are filled, it delta hedges the positions to manage risk.
Implied volatility surface construction (SVI), hand-rolled Black-Scholes Greeks, Newton-Raphson IV solver, and delta-hedged options backtesting with full P&L attribution across theta, gamma, and vega.
LaTeX, Python, and Jupyter exploration of Black-Scholes.
A quantitative simulation for Engineering the Future of Capital Markets, modeling delta-hedging cascades via Zero-Cost Collars, engineered specifically for resource-constrained cloud environments.
Options Pricing and Greeks Simulator
Calibrate the SABR stochastic volatility model to SPX implied volatility surfaces and benchmark smile-aware delta-hedging strategies against the Black–Scholes baseline.
Exploring option pricing, implied volatility, Greeks, and discrete delta hedging through analytical and numerical experiments in Python.
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