Computational Finance: Lecture 4/14 (Implied Volatility)

Computations in Finance
Computations in Finance
11.1 هزار بار بازدید - 7 روز پیش - Computational Finance Lecture 4- Implied
Computational Finance Lecture 4- Implied Volatility ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ This course is based on the book: "Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019. ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ - Codes and the slides can be found at: github.com/LechGrzelak/Computational-Finance-Cours… - See quantfinancebook.com/ for more details and for additional materials. ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ 0:00 Introduction 02:56 Key Elements for Pricing Derivatives 09:00 Black-Scholes Implied Volatility 28:38 Newton-Raphson Method and Implementation in Python 58:17 Time-Dependent Volatility Parameter, σ(t) 01:10:11 Implied Volatility Surface 01:18:11 Deficiencies of the Black-Scholes Model ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ CONTENT OF THIS COURSE: Lecture 1- Introduction and Overview of Asset Classes Lecture 2- Stock, Options and Stochastics Lecture 3- Option Pricing and Simulation in Python ***** Lecture 4- Implied Volatility Lecture 5- Jump Processes Lecture 6- Affine Jump Diffusion Processes Lecture 7- Stochastic Volatility Models Lecture 8- Fourier Transformation for Option Pricing Lecture 9- Monte Carlo Simulation Lecture 10- Monte Carlo Simulation of the Heston Model Lecture 11- Hedging and Monte Carlo Greeks Lecture 12- Forward Start Options and Model of Bates Lecture 13- Exotic Derivatives Lecture 14- Summary ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ #ComputationalFinance, #Python, #QuantitativeFinance, #FinancialMathematics, #MonteCarloSimulation, #OptionPricing, #Finance, #DerivativePricing, #BlackScholes, #FreeCourse, #FinancialEngineering, #Hedging, #Simulation, #Options
7 روز پیش در تاریخ 1403/07/10 منتشر شده است.
11,132 بـار بازدید شده
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