Derivatives Pricing
Black-Scholes and its failures, implied vol surfaces, Heston model calibration, and the Libor Market Model — from first principles to production implementation.
4 modules~100 min total
Prerequisites
Stochastic Calculus & SDEs (or equivalent)Basic measure theoryNumerical linear algebra
Modules
01
Black-Scholes: Derivation, Greeks, Limitations
MediumDerivatives PricingBlack-ScholesGreeksPDE Methods
22 min
02
Implied Vol Surfaces and Smile Dynamics
HardDerivatives PricingImplied VolatilityLocal VolatilitySABRVol Surface
25 min
03
Heston Model: Calibration and Simulation
HardDerivatives PricingStochastic VolatilityHeston ModelFourier PricingCalibration
04
Hull-White and the LMM Framework
HardDerivatives PricingInterest Rate ModelsHull-WhiteLibor Market ModelTerm Structure
25 min