Sameer
Siddiqui
Deep technical writing on derivatives pricing, market microstructure, stochastic calculus, and algorithmic trading — with full working implementations in Python and C++.
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All topicsDerivatives
Options, futures, swaps, pricing models, Greeks, vol surfaces
Fixed Income
Yield curves, bond pricing, duration, term structure models
Market Microstructure
Order books, HFT, market making, execution algorithms
Mathematical Finance
Stochastic calculus, measure theory, PDEs, numerical methods
Equities
Factor models, alpha research, portfolio construction
Crypto
DeFi, on-chain analytics, crypto market microstructure
AI & ML in Quant
LLMs for NLP on filings, RL for execution, neural signals
Programming & CS
C++, Python, system design and data structures for finance
Latest Articles
All articlesDeriving the Black-Scholes PDE from First Principles
A rigorous derivation of the Black-Scholes partial differential equation using Itô's lemma, delta hedging, and no-arbitrage arguments — followed by a complete Python implementation of the closed-form solution.