Implied Volatility in Practice: Surfaces, Calibration, and Fast Greeks in Python: From Raw Quotes to Arbitrage-Free Vol Surfaces and Production-Ready Risk by James Preston, Danny Munrow
English | September 17, 2025 | ISBN: N/A | ASIN: B0FRLBQ1CS | 723 pages | EPUB | 0.74 Mb
Reactive Publishing
Turn raw option quotes into a stable, arbitrage-aware IV surface and live Greeks. Build squashed-spline and SVI fits, enforce static-arbitrage, and calibrate quickly. Compare BSM vs Local/Stochastic Vol (Dupire, Heston overview), and export a production surface for pricing and hedging. Includes full Python notebooks and a minimal surface server.Core modulesData cleaning, moneyness grids, microstructure filtersSVI + alternative parameterizations, constraints, and regularizationDupire local vol (practical numerics) + sanity checksSmile-consistent Greeks and scenario shocksCalibration speed tricks; JAX autodiff for sensitivities
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