Volatility Surface Modelling: An Introduction
Автор: Quant Next
Загружено: 2024-03-11
Просмотров: 2644
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In this video, we will give an introduction to the modelling of the volatility surface.
We give a quick overview of some of the main methods used to build the volatility surface:
Parametric Methods
Stochastic Volatility
Local Volatility
Jump Diffusion
Rough Volatility
0:00 Introduction
0:10 Building the Implied Volatility Surfaces from Observable Prices...
0:30 ...but the Volatility Surface is not Arbitrary
1:00 Why is it Important?
1:37 Many Methods to Build the Volatility Surface
4:12 What is a Good Model?
5:12 How to Choose a Model?
#optionpricing, #quantitativefinance, #financeeducation, #derivatives, #quant, #quantnext, #montecarlosimulation
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