Volatility Surface Simulator (Internal Tool)

The volatility surface simulator is an internal backtesting tool I created to backtest and benchmark my own improvements to the production volatilty model.

Video Examples

These examples show how my model improved the stability and accuracy of the volatility smile during times of extremely low liquidity.

Surface Shock Recovery

Option Nearing Expiry

My Improvements:

• New weight functions
• New penalty functions
• No-arbitrage constraints
• Robust regression methods
• L1 norm methodologies to handle outliers more effectively
• New liquidity model
• Smoothing functions
• Constrained optimization methods

Volatility Surface Explorer > >(Webapp Link)< <

This volatility surface explorer is an options trading and pricing tool I built, enabling market makers and traders to visualise real-time and historical simulations of volatility surfaces, market quotes, and trades.

Using the tool, you can view proprietary implied volatility surface marks generated from my own model, and explore live or historical volatility surfaces in 2D or 3D through simulations.

Created in Plotly Dash (Python), CSS and HTML.