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Stochastic Volatility

The Heston model, its simulation, the smile as a result of the model, calibration to a volatility surface, and local volatility as an outlook.

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How this module runs

  1. 01 · IntroductionWhat it is and why it matters
  2. 02 · Key PointsThe most important points
  3. 03 · The Math + PythonFormula, step by step, code
  4. 04 · Real WorldWhere it is used, best practice, common mistakes
  5. 05 · QuestionsExercises and interview
  6. Mini projectOne small program
Mini projectHeston prices simulated, their smile read off and calibrated backOne small program on the topic, to run and to extend step by step.

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