Volatility and jump models
Local and stochastic volatility, jumps, SABR and how the smile moves with spot.
5 planned
No page in this subject is open yet. The planned list below shows what is coming, in learning order.
Planned
In learning order. These are not pages yet.
- What jumps add to a diffusion price modelGraduate
- How local volatility fits a European option surfaceGraduate
- How stochastic variance creates a Heston smileGraduate
- How SABR parameters change an implied volatility smileGraduate
- Sticky strike or sticky delta: how the smile moves with spotGraduate
How it connects
Builds on Hedging and calibration Stochastic calculus and SDEs Stochastic processes PDE methods Differential equations Monte Carlo and numerical pricing Optimization Derivatives
Leads to none
Subjects marked “connection” are linked by a related idea, not by a prerequisite.