Option analytics and hedge learning with Volt and Jormungandr

An option seller has to finance a future payment while managing the risk of the market moving along the way. Stock positions offset part of that risk. Traded options add ways to manage curvature and volatility exposure, and every adjustment has a cost.

Our option analytics and hedge-learning collection connects that problem to the supplied software. It includes browser and terminal recordings, five compact papers and the application interfaces.

Volt supplies pricing, Greeks, scenario valuation and the financed trading calculation. Jormungandr supplies a persistent learner interface for submitting scenarios, training policies, evaluating held-out paths and requesting target holdings.

Reading the calculation

Start with Options, Exercise and Learned Hedging: A Practical Primer for the complete web edition, including equations, worked examples, diagrams and references. The original PDF remains available alongside it.

Begin with Pricing and Risk Analytics for contract units, sensitivities and the numerical calculation. European Straddles works through the relationship between volatility, repeated hedging and trading costs.

Learning to Hedge in Volt develops the Heston experiment and reports completed comparisons. Learning to Hedge with Stocks and Options defines the control problem and shows the actual training and inference calls. The live analytics paper follows calculated risk into an updating application.

The multi-asset study covers a five-stock Bermudan option, independent valuation and the writer’s vector hedge account.

Trying the tools

The Volt source includes command-line pricing and risk applications. The Jormungandr client example creates a model, uploads separate scenario batches, trains, evaluates, requests holdings and restores a checkpoint.

The recordings use a historical capture of 64 American option contracts across eight stock and ETF underlyings, paired with observed stock prices. Volt calculates the implied volatilities and Greeks using the stated carry assumptions. An illustrative position book makes the portfolio exposures visible, and the observation clock follows the capture.