Use cases for
options risk.
FerroRisk targets the search terms teams use when they need a Rust pricing and risk engine: options pricing, Greeks, IV solving, volatility surfaces, chain exposure, and proof-gated pricing math.
Use cases
Search terms with the pricing path behind them
Each page connects a common search phrase to FerroRisk's shared path through pricing, IV, Greeks, surfaces, chain analytics, and proof-gated primitives.
Rust options pricing library
A Rust options pricing library with seven pricing models, implied-volatility solving, full Greeks, volatility surfaces, chain analytics, and proof-gated primitives.
options Greeks API
An options Greeks API for first- and second-order sensitivities across pricing models, contracts, surfaces, and chain analytics in Rust.
implied volatility solver Rust
A Rust implied-volatility solver path for contract analytics, model-free forward recovery, volatility surfaces, Greeks, and live chain workflows.
volatility surface calibration
Volatility surface calibration for SVI, SSVI, and SABR workflows with fit-quality diagnostics, forward recovery, and downstream risk analytics.
SVI SSVI SABR calibration
SVI, SSVI, and SABR calibration in Rust for volatility smiles, fit-quality diagnostics, surface readouts, and risk analytics.
options risk engine
An options risk engine for pricing, Greeks, volatility surfaces, chain exposures, scenario attribution, and portfolio risk workflows.
proof-gated options pricing
Proof-gated options pricing in Rust: benchmarked hot paths, reference oracles, and formal proof gates around stable pricing and risk primitive laws.
variance risk premium
Compute the variance risk premium from implied and realized volatility in Rust, decompose it into diffusive and jump/tail legs via a Merton fit, and read a z-score against a rolling baseline.
realized volatility estimators
Realized volatility estimators in Rust — close-to-close, Parkinson, Garman-Klass, Yang-Zhang, and jump-robust bipower variation — with a realized jump split, on one typed OHLC path.
implied correlation dispersion
Option-implied average pairwise correlation and the dispersion read for an index versus its constituents, in Rust — weighted-average vol, uncorrelated index variance, and the dispersion premium.
effective spread transaction cost
Per-quote effective spread and multi-leg round-trip transaction-cost aggregation in Rust, with typed degraded and unavailable outcomes for locked, crossed, and one-sided markets.