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fast-vollib: a fast implied volatility library for Python with NumPy, PyTorch, JAX and CUDA fused-kernel backends

Documentation:
fast-vollib is an open-source Python library for accelerated derivatives pricing, implied volatility computation and risk (Greeks) calculation. It implements the Black-76, Black-Scholes and Black-Scholes-Merton models with a vectorised implied-volatility solver based on Halley's method, and provides pluggable NumPy, PyTorch, JAX and CUDA fused-kernel backends with automatic backend selection. Further features include full Greeks (delta, gamma, theta, rho, vega), DataFrame-native pandas integration, drop-in compatibility with the upstream py_vollib libraries, implied-volatility surface arbitrage evaluation and a validation harness, typed derivative instruments (vanilla, digital, Asian, barrier, lookback and variance swaps), and an explicit Monte Carlo simulation engine with antithetic sampling and standard-error reporting. Developed by Raeid Saqur, released under the MIT licence, and distributed on PyPI as "fast-vollib".

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Files:
Publisher copy:
10.5281/zenodo.22150802
Publication website:
https://github.com/raeidsaqur/fast-vollib

Authors/Creators

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Creator
ORCID:
0000-0002-6330-5480

Publisher:
GitHub
Publication date:
2026
DOI:

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