{"id":"https://openalex.org/W7159633887","doi":"https://doi.org/10.48550/arxiv.2604.27210","title":"Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends","display_name":"Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends","publication_year":2026,"publication_date":"2026-04-29","ids":{"openalex":"https://openalex.org/W7159633887","doi":"https://doi.org/10.48550/arxiv.2604.27210"},"language":null,"primary_location":{"id":"doi:10.48550/arxiv.2604.27210","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2604.27210","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.48550/arxiv.2604.27210","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5134972307","display_name":"Raeid Saqur","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Saqur, Raeid","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5134972307"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.585099995136261,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.585099995136261,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.07450000196695328,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.04690000042319298,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cuda","display_name":"CUDA","score":0.8666999936103821},{"id":"https://openalex.org/keywords/python","display_name":"Python (programming language)","score":0.715399980545044},{"id":"https://openalex.org/keywords/greeks","display_name":"Greeks","score":0.6588000059127808},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4510999917984009}],"concepts":[{"id":"https://openalex.org/C2778119891","wikidata":"https://www.wikidata.org/wiki/Q477690","display_name":"CUDA","level":2,"score":0.8666999936103821},{"id":"https://openalex.org/C519991488","wikidata":"https://www.wikidata.org/wiki/Q28865","display_name":"Python (programming language)","level":2,"score":0.715399980545044},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7075999975204468},{"id":"https://openalex.org/C182767506","wikidata":"https://www.wikidata.org/wiki/Q1321169","display_name":"Greeks","level":2,"score":0.6588000059127808},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.48820000886917114},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4510999917984009},{"id":"https://openalex.org/C459310","wikidata":"https://www.wikidata.org/wiki/Q117801","display_name":"Computational science","level":1,"score":0.3239000141620636},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.29649999737739563},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.28529998660087585},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.2784999907016754},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.2574000060558319}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.48550/arxiv.2604.27210","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2604.27210","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.48550/arxiv.2604.27210","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2604.27210","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"We":[0],"present":[1],"fast-vollib,":[2],"an":[3,72],"open-source":[4],"Python":[5],"library":[6,27,100],"that":[7],"provides":[8],"high-performance":[9],"European":[10],"option":[11,94],"pricing,":[12],"implied":[13],"volatility":[14],"(IV)":[15],"computation,":[16],"and":[17,23,38,44,57,87,101,110],"Greeks":[18],"under":[19],"the":[20,35,99],"Black-76,":[21],"Black-Scholes,":[22],"Black-Scholes-Merton":[24],"models.":[25],"The":[26],"is":[28],"designed":[29],"as":[30],"a":[31,48,58,65],"drop-in":[32],"alternative":[33],"to":[34,64],"de-facto-standard":[36],"py_vollib":[37],"py_vollib_vectorized":[39],"packages,":[40],"with":[41,83,107],"pluggable":[42],"PyTorch":[43],"JAX":[45],"execution":[46],"backends,":[47],"CUDA":[49],"fused-kernel":[50],"Triton":[51,88],"contribution":[52],"for":[53,92],"batched":[54,93],"IV":[55,68],"workloads,":[56],"compatibility-first":[59],"public":[60,104],"API.":[61],"In":[62],"addition":[63],"vectorized":[66],"Halley-method":[67],"solver,":[69],"fast-vollib":[70],"ships":[71],"experimental,":[73],"fully-vectorized":[74],"implementation":[75],"of":[76],"J\u00e4ckel's":[77],"\"Let's":[78],"Be":[79],"Rational\"":[80],"(LBR)":[81],"algorithm":[82],"NumPy/Numba,":[84],"torch.compile,":[85],"JAX,":[86],"single-pass":[89],"GPU":[90],"kernels":[91],"chains.":[95],"This":[96],"note":[97],"announces":[98],"describes":[102],"its":[103],"API":[105],"surface,":[106],"source,":[108],"documentation,":[109],"packaging":[111],"artifacts":[112],"available":[113],"at:":[114],"GitHub":[115],"(https://github.com/raeidsaqur/fast-vollib),":[116],"Docs":[117],"(https://raeidsaqur.github.io/fast-vollib/),":[118],"PyPI":[119],"(https://pypi.org/project/fast-vollib/).":[120]},"counts_by_year":[],"updated_date":"2026-07-01T06:00:48.157686","created_date":"2026-05-02T00:00:00"}
