Inverse Pricing for the Implied Volatility Surface (PDE-constrained + PINN)

https://github.com/fightforbelief/inverse-iv-surface-pinn

Built a differentiable Black-Scholes/Dupire pricing pipeline with a lightweight MLP parameterization of sigma(K,T) and physics-informed regularization; implemented Adam to L-BFGS training with soft no-arbitrage penalties (monotonicity/convexity in strike, calendar monotonicity). On SPY OptionMetrics (single-date) cross-bucket tests, achieved 10-15% lower pricing RMSE vs. SVI/SABR baselines, <0.5% static/calendar arbitrage rate on a dense grid, and stable out-of-sample interpolation to unseen tenors/strikes (transaction-cost-agnostic evaluation).