Sameer Siddiqui

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Long-form technical writing on derivatives pricing, stochastic calculus, market microstructure, and algorithmic trading — all with working implementations.

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Deriving 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.

7 min read1 Jun 2026