Quant finance side projects: calculation of volatility surfaces from option chain data, LSTM time series prediction
-
Updated
Nov 30, 2020 - Jupyter Notebook
#
volatility-surfaces
Here are 2 public repositories matching this topic...
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.
python scipy monte-carlo-simulation spy implied-volatility svi options-pricing structured-products barrier-options yfinance equity-derivatives volatility-surfaces volatility-surface risk-neutral local-volatility implied-volatility-surface ssvi dupire no-arbitrage quantitative-finances
-
Updated
Nov 3, 2026 - Jupyter Notebook
Add this topic to your repo
To associate your repository with the volatility-surfaces topic, visit your repo's landing page and select "manage topics."