FX derivative pricing in C++: Black-Scholes/Garman-Kohlhagen, finite-difference PDE and Monte Carlo methods.
EUR/USD FX options trading desk: live IB feed → SVI/SSVI surface, GARCH/HAR-RV fair vol, GMM regime + PCA signals → delta-hedged execution. FastAPI · React · Postgres · Redis on AWS.
This project aims to construct the FX Volatility Surface and price FX Vanilla Options
FX option pricing (Garman–Kohlhagen), yield curves, zero-coupon bonds and historical VaR in Python
SABR/SABR-LMM model calibration toolkit in Python — FX vol surface fitting, Hagan approximation, SciPy optimizer
Python study of FX option pricing (Garman-Kohlhagen) and volatility surfaces. Rebuilds the smile from ATM, risk reversal and butterfly quotes with a cubic spline, a parabola in delta and SABR, builds a bid/mid/ask surface and tests it for arbitrage. Illustrative quotes, real EUR/USD data for context.
Zero-knowledge cross-border payment protocol — GDPR-compliant interbank settlement where intelligence travels, data doesn't.
Cross-border payment orchestration API — strict state machine, real-time FX conversion, IBAN/SWIFT validation, and OFAC/EU sanctions screening. The framework that became OBELISK.
FX options: Garman-Kohlhagen, the four FX delta conventions, vanna-volga smile from ATM/RR25/BF25, Monte Carlo checks
Production Vanna-Volga FX options pricer — vol smile calibration from ATM/RR/BF pillars, barrier/digital exotic pricing (Exiom Partners internship)
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