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1. option-implied-moments option-implied-moments Public

   Algorithm to compute higher order return moments (volatility, skewness, kurtosis) from an implied volatility surface.

   Python 4

2. vol_decomposition vol_decomposition Public

   Algorithm to decompose realised variance into continuous and jump components using intra-day logarithmic returns. Optimized for speed with computationally intensive parts written as C-extensions.

   Python 3

3. algos algos Public

   High-performance implementations of several classic and advanced data structures, written in Cython for speed and efficiency.

   Cython 4