Volatility Models

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Volatility Models


Recommended for the 4-6th year of Specialist’s program, 4th year of Bachelor’s program, and 1-2nd year of Master’s program.

You can sign up for the course until October 9 inclusive.

The schedule is subject to change.

Lectures

Day: Tuesdays 
Time: 6:30pm-8:05pm
Language: Russian
Format: online

Seminars

Day: Fridays
Time: 8:10pm-9:40pm
Language: Russian
Format: online
Course Info

The famous Black-Scholes model for pricing options assumes that the volatility parameter of the underlying asset is constant. It is well known that such an assumption is not consistent with market data. The course will focus on stochastic volatility models, in which volatility is a variable. Correct modeling of volatility is extremely important in the problems of valuation of derivatives.

This course will present mainly "classical" models of stochastic volatility - starting with the Black-Scholes and Black models and ending with the results of the early 2000s.

In addition to theoretical material, a significant part of the course will be devoted to practical exercises with the implementation of stochastic volatility models in Python.

See full course outline.

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