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Volatility Models I

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

The schedule is subject to change.


Day: Monday 
Time: 4:45pm-6:20pm (Moscow time)


Day: Monday
Time: 8:15pm-9:45pm (Moscow time)

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Course Info

The famous Black-Scholes model for option pricing assumes that the volatility parameter of the underlying asset is constant. It is well known that this assumption does not align with the market data. The course will focus on models of stochastic volatility, where volatility is a variable. Accurate modeling of volatility is crucial in derivative valuation.

In this course, primarily "classic" models of stochastic volatility will be presented, starting from the Black-Scholes and Black models and ending with results from the early 2000s. In addition to theoretical material, a part of the course will be dedicated to practical exercises involving the implementation of stochastic volatility models in Python.

See full course outline.