Product
FerroRisk
FerroRisk turns typed market inputs into pricing, implied-volatility solving, Greeks, volatility-surface calibration, chain analytics, portfolio risk measures, and formal proof gates around stable pricing laws.
FerroRisk is the shared pricing and risk layer for the stack. It keeps conventions explicit, carries diagnostics forward, and centralizes the math for pricing, implied-volatility solving, Greeks, surfaces, chain analytics, and portfolio risk. Stable pricing and risk primitive laws move into formal proof gates where the contract is precise enough to specify.
Why it matters
Options workflows break down when pricing assumptions, volatility surfaces, and risk measures drift across tools. FerroRisk keeps those conventions in one auditable layer so research, applications, and reporting can explain how each number was produced.
What it covers
- Option pricing and model dispatch.
- Implied-volatility solving and Greek calculation.
- Discrete-dividend American pricing and de-Americanization to a European-equivalent price and implied volatility.
- Volatility surface calibration with diagnostics.
- Realized-volatility estimators, including directional downside / upside semivariance.
- Portfolio-level VaR and Expected Shortfall.
- Formal proof gates for stable pricing, arithmetic, and risk-contract laws.