Automatic Options Hedging and Backtesting

This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.

Delta hedging under SABR model

Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network

Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market

Simulation of delta hedging

options market making engine in C++20 — SVI vol surface, Black-Scholes pricing, lock-free SPSC queues, delta hedging, and real-time PnL attribution.

C++ implementation of a Dynamic Delta Hedging strategy for European Options. Delta Hedging is a great strategy for trying to create a neutral portfolio to minimize risk exposure.

Dynamic Hedging Backtesting Engine

Pricing and hedging of HKEX warrants in Python using Black Scholes, Implied Volatility and Delta Hedging. It is connected to HKEX and BOCI data source.

Calculate the Greeks for Uniswap V3 and setup LP positions with a target delta.

Option data suite capable of pinpointing intra-day high/lows before they happen based on "Auction Market Theory" and delta weighted volume analysis of the 0 DTE option chain for indexes.

Backtest delta hedging investment strategy in Clojure

Short gamma scalping on Deribit BTC/ETH options, delta-hedged via perpetuals. Avellaneda-Stoikov pricing with live vol surface, funding-adjusted sizing, and config-driven risk controls. Kill switch on RV spikes, drawdown breaches, and adverse funding. Asyncio stack: market data, strategy, execution, and risk engine running as independent loops.

Options market making engine for Deribit inverse (coin-settled) BTC/ETH options. Arb-free SVI vol surface, coin-denominated Greeks derived from Deribit's own inverse pricing formula, Avellaneda-Stoikov quoting in vol-space, Whalley-Wilmott delta hedging via the perpetual. Rust workspace, 111 tests.

A personal deep dive into the world of risk neutral hedging using options (delta/gamma/vega hedging)

Avellaneda-Stoikov market maker on Polymarket binary BTC options. Black-Scholes fair value, delta hedge on Hyperliquid perpetuals, PPO RL variant for comparison.

In this article, I present methods to efficiently estimate the price and the probability of exercise for vanilla and exotic options in R. In addition, I compare the empirical delta between European and average rate Asian options.

A quantitative trading framework for options pricing, volatility surface calibration, and automated statistical arbitrage using Heston and Bates models.