Rs
All modules
10
Quant · 3 submodules · 7 lessons · 2h 47m

Derivatives Pricing in Rust

Normal CDF, Black-Scholes, Greeks, and binomial trees — step-by-step with checks.

Submodule 10.1

Normals & Black-Scholes

Closed form building blocks.

  1. 1

    Normal PDF & CDF

    Abramowitz-Stegun style CDF approx and PDF.

    22 min
  2. 2

    d1 and d2 Explained

    Interpret and implement the BS kernels.

    18 min
  3. 3

    Black-Scholes Call & Put

    Full closed form with expiry edge cases.

    28 min

Submodule 10.2

Greeks & Trees

Risk sensitivities and binomial.

  1. 1

    Greeks: Delta & Vega

    Analytic delta/vega and finite-difference checks.

    26 min
  2. 2

    Gamma & Theta Intuition

    Formulas and qualitative behavior.

    18 min
  3. 3

    Binomial Tree (CRR)

    Cox-Ross-Rubinstein European call.

    30 min

Submodule 10.3

Pricing Lab

Strike sweep and parity lab.

  1. 1

    Module 9 Lab: Vol Surface Slice

    Price calls across strikes; print a simple smile-less curve.

    25 min