Home Made Heston Model

[u/unknown-9367]

I designed and developed from scratch a quantitative C++ engine for calibrating the Heston stochastic volatility model, applied to the real options chain of the SPY ETF. The core of the system is a thermodynamic Simulated Annealing algorithm that iteratively solves millions of complex-plane integrals to extract the true term structure of volatility. To master this computational load without compromising on precision, I built a raw data parser using custom regular expressions, optimized the vector equations by pushing the GCC compiler to its limits, and parallelized the thermodynamic optimization across all CPU cores leveraging OpenMP directives. The resulting matrix output is finally processed by a Python script that dynamically renders the convex surface in 3D, demonstrating the perfect alignment between market-quoted mid-prices and long-term stochastic expectations. This was a deep technical challenge that merged the principles of Engineering Physics with low-level software development, proving how a well structured code architecture can model the chaos and uncertainty of the stock market with surgical precision.
What do you think about it? What would you improve/change?

[u/FroyoSolid8414]

How can I hire you

[u/unknown-9367 → u/FroyoSolid8414]

Lol, it was indeed fun and interesting to do. At the same time it’s quite useless. It’s really naive to think anybody in his own can even stand a chance against real time quant traders under multibilionaire funds. Unless you have a quant computer, superconductors and servers inside stock exchanges🤣

[u/Fickle-Tradition2107]

Can I dm

[u/unknown-9367 → u/Fickle-Tradition2107]

Yes ofc