Arbitrage Free Derivatives Pricing

objective

Build arbitrage-free pricing pipelines with explicit carry conventions and control-ready valuation diagnostics.

workflow

1. define product payoff, discount curve, and forward construction rules.
2. implement valuation equations and numerical solvers with test fixtures.
3. run no-arbitrage checks across strikes, maturities, and structures.
4. compare model values against market and alternative valuation methods.
5. release only when pricing controls and reconciliations pass thresholds.

required diagnostics

• pricing residual by product, strike, and maturity.
• curve-consistency and forward-construction diagnostics.
• no-arbitrage violations count and severity trends.
• sensitivity reconciliation across greeks and finite differences.
• daily model-versus-market control exceptions.