Personal Project related to volatility modelling or heston model calibration?

[Xerium]

I've completed my MFE, but am in the process of looking for work and needing to do some personal projects to bolster my CV.

Currently, I have written a program in python completely from scratch (except using py_vollib for implied vol), that can calibrated the heston model against 500-1000 live options data very fast. It can match the implied vol surface, with a very low RMSE and can get the smirk at small dte's (>=1 day).

What other personal projects could I do that is related to volatility and or SV calibration with live data? Preferably a project that is more of a math project, NOT a coding/infrastructure project.

 

[Quasar Chunawala]

Hi @Xerium,

What about comparing your output with Implementing Vanna Volga | Math Summaries.

Also, to back out implied vol from option prices, you could try implementing the algorithm from Peter Jackel's paper (Let's be Rational).

 

[Xerium]

Hi @Xerium,

What about comparing your output with Implementing Vanna Volga | Math Summaries.

Also, to back out implied vol from option prices, you could try implementing the algorithm from Peter Jackel's paper (Let's be Rational).

I had already implement his By Implication version and have coded up half of his let's be rational version until I realised the py_vollib package is the exact implement of it. I'll check out the link, though.