This is Recording of our 90 minutes Masterclass on "Derivative Pricing Using Stochastic Volatility Models" by Somdip Datta

ABOUT THE SPEAKER

Introducing Somdip Datta, ex-VP of Quant at Goldman Sachs New York, with 12+ years of experience in the Quantitative finance domain. He did his PhD in Electrical Engineering from the prestigious Princeton University and BTech from IIT Kharagpur. His expertise is in Quantitative modelling and pricing complex derivative products.

MASTERCLASS DETAILS

He’ll teach you how to price complex derivatives from scratch using the Stochastic volatility model and how to calibrate models.

What the Masterclass have in it for you

1. Overview of Heston Model :

Introduction to the Heston Model, a stochastic volatility model used in options pricing.

Explanation of how it extends the Black-Scholes model to capture the volatility smile observed in real-world option prices.

Discussion of key parameters and equations in the Heston Model.

2. Comparison vs. Black-Scholes :

Comparison of Heston Model with Black-Scholes model with and without smile.

Explanation of how Heston Model provides more accurate pricing by incorporating stochastic volatility dynamics.

3. Comparison of Pricing Models :

Comparison of pricing different instruments using local volatility vs. implied volatility model.

Overview of the local volatility model's flexibility and implied volatility model's comprehensive framework.

Insights into market expectations of future volatility are provided by implied volatility models.

Get access to Jupyter Notebook used in the Masterclass along with the Recording

This MasterClass is for you if you are a working professional in the field of Finance, Risk Management, Quant at Investment Bank, Brokerage Firm, Advisory firm, Derivative pricing or a student who is passionate about making a career in Quantitative Finance.

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