Production-quality volatility surface library for Rust
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Updated
Mar 13, 2026 - Rust
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ssvi
Here are 5 public repositories matching this topic...
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.
machine-learning quantitative-finance implied-volatility svi options-pricing mixture-of-experts volatility-surface ssvi risk-neutral-density
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Jan 27, 2026 - Jupyter Notebook
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.
option-pricing stochastic-volatility-models implied-volatility blackscholes heston-model svi heston-stochastic-volatility implied-volatility-forecasting impliedvolatility implied-volatility-surface ssvi implied-volatilities
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Mar 8, 2026 - Python
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.
cmake cpp derivatives option-pricing quantitative-finance risk-management implied-volatility sabr-model streamlit volatility-surface black-sholes-model ssvi
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Feb 20, 2026 - Python
Provide a high-performance implied volatility surface engine with C++ core and Python dashboard for accurate options pricing and risk management.
cmake cpp derivatives option-pricing quantitative-finance risk-management implied-volatility sabr-model streamlit volatility-surface black-sholes-model ssvi
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Mar 13, 2026 - Python
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