Lecture 2022-1 (31): Numerical Methods: Excursus: Stochastic, Local and Implied Volatility
Channel: finmath
Date: 2022-08-04

Lecture 2022-1: Session 31: Numerical Methods for Mathematical Finance: Excursus: Stochastic, Local and Implied Volatility

- Implied Volatility
- Black-Scholes and Bachelier Implied Volatility
- General Implied Model Parameter
- Local Volatility
- Dupire Formula
- Stochatic Volatility
- Heston Model
- Why a Stochastic Volatility generates an Implied Volatility Smile