Volatility Models I
The schedule is subject to change.
Time: 4:45pm-6:20pm (Moscow time)
Time: 8:15pm-9:45pm (Moscow time)
Lecturer, Volatility Models I
Lecturer, How to write articles?
Lecturer, Python for scientific computing
Research supervisor of Student research group "Stochastic Volatility Models"
Research supervisor of Student research group "Fundamental problems in financial mathematics"
Lecturer of the 4th International Summer School of Mathematical Finance
Postgraduate of the Department of Probability Theory, Lomonosov Moscow State University
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.