Volatility smile

Related lectures (32)

Page 3 of 4

Covers the calibration of interest rate models using a two-factor Gaussian HJM model and the computation of Black and Bachelier cap vegas.

Explores mean-variance efficient portfolios, factor models, and market efficiency in investment management.

Explores forecasting in time series analysis, long memory processes, and ARCH models for volatility modeling.

Explores the evolution of DeFi and DEXes through the Liquidity Book model.

Explores optimal trading behavior in high frequency trading and its impact on market dynamics.

Covers GARCH processes for financial time series analysis.

Covers the principles of flash drums and the mass and energy balances involved in separation processes.

Explores the optimal dispatch of power generation units and the economics of power systems in deregulated environments.

Explores the financial applications of blockchains, including DeFi, lending protocols, DAOs, flash loans, and token-based insurance solutions.

Explores ancillary services, capacity market, and electricity market liberalization, emphasizing system balancing and peak demand challenges.