dupire

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Idriss-Afra / Local-Volatility-Model

This project aims to strip the Equity Local Volatility surface and implement the associated PDE pricing method.

python jupyter-notebook derivatives option-pricing pde implied-volatility equity-options pde-solver derivatives-pricing svi options-pricing volatility-modeling option-pricing-calculator quant-finance volatility-surface local-volatility-model local-volatility dupire

Updated Mar 18, 2026
Jupyter Notebook

ludovico-finance / equity-vol-surface

Star

End-to-end implied and local volatility surface from live SPY options, with Dupire local vol and an empirical study of the VIX term structure as a predictor of realised volatility.

python option-pricing quantitative-finance volatility quantitative-research dupire

Updated May 10, 2026
Python

gkorzeno / Rough-Volatility-QMC-Pricing-Engine

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monte-carlo option-pricing quantitative-finance nelder-mead stochastic-processes variance-reduction sobol-sequence rough-volatility greeks quasi-monte-carlo stochastic-volatility convergence-analysis volatility-surface brownian-bridge effective-dimension rough-bergomi dupire

Updated May 5, 2026
C++

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