Implied Volatility Surfaces and the Variance Risk Premium
Building implied volatility surfaces from OptionMetrics index option
data and comparing the variance risk premium across US and Canadian
equity exposure. Black-Scholes priced on the forward, implied
volatility recovered by Brent inversion, SVI surface fits tested for
butterfly and calendar arbitrage violations.
Status: In progress. Pricer and analytic vega complete, validated against put-call parity, monotonicity in volatility, payoff convergence at expiry, and a finite-difference check.
Design note: UofT's WRDS subscription has no Canadian IvyDB coverage, so the Canadian leg uses NYSE-listed EWC options. This measures how US investors price Canadian equity risk, currency-unhedged, which is documented as a limitation.
PythonSciPySQLWRDS / OptionMetricsOptions Pricing
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Python backtesting framework using TSLA market data with transaction
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CGraphsRecursion
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file parsing, traversal, deletion, reversal, and harmonization logic.
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Ontario Bridges Data Analysis Project in Python
Processed CSV infrastructure data to analyze bridge conditions, perform
distance-based filtering, and build priority ranking logic for
inspection planning.
Result: Produced a reproducible prioritization workflow for inspection decision support.
PythonData AnalysisCSV Processing
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