Applied Computational Finance Lecture 3 - Local volatility (pdf)
ACF Lecture 3 - Local volatility
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ACF Lecture 3 - Local volatility
Applied Computational Finance Lecture 3 - Local volatility
-
- 0 Rating
- 0 Reviews
- 3 Students Enrolled
Courselet Content
1 components
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898.45 K |
Requirements
- ACF Lecture 3 - Local volatility
General Overview
Description
In this lecture, we will study the important concept of local volatility which is used to fix the deficiency in the Black-Scholes model. We will look at Dupire’s model and study various other implications of local volatility and different properties of implied volatility surfaces.
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About the Instructor
Hi there, I am a lecturer in University of Glasgow and will be happy to contribute as an instructor. Appreciate if you could approve. Thanks! Yihan