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1. Black-Scholes-PDE-CN Black-Scholes-PDE-CN Public

   Crank-Nicolson scheme for the Black-Scholes PDE (European call pricing), with convergence analysis against the closed-form price

   Python 1

2. Heston-Stochastic-Volatility Heston-Stochastic-Volatility Public

   Heston stochastic volatility model via Monte Carlo. European call pricing with log-Euler discretization and analysis of skew dynamics vs spot-vol correlation

   Python 1 1

3. Black-Scholes-Delta-Hedging Black-Scholes-Delta-Hedging Public

   Monte Carlo simulation of Black-Scholes delta-hedging to analyze the impact of rebalancing frequency on the hedging error

   Python 1

4. parallel-monte-carlo-pricing parallel-monte-carlo-pricing Public

   European call pricing under deterministic piecewise volatility: Monte Carlo with multiprocessing, antithetic variates, and closed-form validation

   Python 1

5. CPPI CPPI Public

   CPPI gap risk modeling: closed-form, Monte Carlo, dynamic VaR multipliers, and put hedging under BS, Heston, and Kou

   Python 1

6. implied-vol-surface-calibration implied-vol-surface-calibration Public

   SVI vol surface, Dupire local volatility (PDE) and Heston calibration, with cross-model repricing on real SPY options

   Python 1