Tutorials

Step-by-step guides for common quantflow workflows.

Tutorial	Description
Option Pricing	Price a European option with the Black-Scholes and Heston-jump-diffusion models
Pricing Method Comparison	Compare the Carr-Madan, Lewis, and COS Fourier-based methods for pricing European options from the characteristic function
Volatility Surface	Fetch live option data, build an implied volatility surface, and extract forwards and discount factors from option prices
Heston Volatility Model	Calibrate the Heston and Heston-jump-diffusion models to an implied volatility surface
SPX Volatility Surface	Build a 3D implied volatility surface for the S&P 500 from a Yahoo Finance option chain
BNS Volatility Model	Calibrate the Barndorff-Nielsen and Shephard stochastic-volatility model to an implied volatility surface
CIR Process	Explore the Cox-Ingersoll-Ross process and validate its analytical PDF against the PDF recovered from the characteristic function
Yield Curve Calibration from Rates	Fit the Vasicek (Kalman filter) and CIR (unscented Kalman filter) short-rate models to historical Treasury rates by maximum likelihood
Discount Curves from Option Prices	Calibrate discount curves and forwards from put-call parity, and understand why a wrong forward breaks the volatility smile