Volatility models

The assumption of constant volatility usually made in class is inconsistent with evidence that implied

volatilities computed for a class of options with the same expiry date can vary across multiple strike prices,

often displaying a convex “volatility smile”. Statistically, it has also been observed that volatilities display

clustering in time, and appear to be negatively correlated to asset prices. Together these observations

have led to the development of local volatility models such as the CEV model and two-factor volatility

models such as the Heston and SABR models.

In this project we will look at the construction and properties of such models in continuous time, as well

as their numerical solution. We can then investigate their use in pricing, examining for example the

emergence of volatility smiles from simulated option prices, option sensitivity analysis under stochastic or

local volatility, and model calibration.

We will draw comparison with examples from the Open Source Risk project [1], a platform for pricing and

risk analysis supported by Acadia, and the associated software project Open Source Risk Engine (ORE)

which is based on QuantLib and written in Python.

Færdigheder: Python, Financial Modeling, Computational Analysis

Om klienten:
( 1 bedømmelse ) Ratlam, India

Projekt ID: #34327760

Tildelt til:


Hi ! I am a profesional mathematician with a PhD in partial differential equation (Paris 6 university - France - 2005) and a master in financial mathematics (Paris 1 university France - 2004). I have good knowledge of Flere

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Certified Python Developer with 4+ years of experience, exceptional analytical skills. Familiarity with web services and REST API. Knowledge of web Python frameworks: Django or Flask. Understanding of ORM libraries, da Flere

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Hi Greetings! I am available right now for the project discussion and can start the project on an immediate basis. I have understood your project requirement I have7++ experience in design and development. I can ha Flere

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