now
What I am working on now
Short notes on what is active this month.
Projects in progress
Starting a C++ vol surface calibration engine for Heston, SABR, and rough Bergomi, plus an options market making engine on the Avellaneda Stoikov framework.
Technical deep dive
Stochastic calculus, numerical methods for PDEs, and volatility modeling, working toward MSFM. I am closing my options and derivatives gap deliberately because that is the area I most want to be fluent in before the program starts.
Competing and prepping
Running a structured technical interview curriculum across probability, statistics, linear algebra, options, and brainteasers.
Reading
Currently: Gatheral, The Volatility Surface. Next: de Prado, Advances in Financial Machine Learning.
Open question
How much of prediction market mispricing is information asymmetry, how much is execution and fee constraints, and how much is plain behavior? PRISM made me think the third bucket is bigger than people admit.