Hello Surya, Thanks for your interest in Quant Next. Through the course, you will see with Python code: - how to price vanilla options with the Heston model using the semi-analytic formula and compare it with Monte Carlo simulations - how the different Heston parameters impact the shape of the volatility surface - how to calibrate the parameters to market prices - how to estimate the risk neutral density function from the characteristic function with Fast Fourier transform - how to price a path dependent exotic options by Monte Carlo simulations and path independent ones by numerical integration Best regards, Quant Next
what are the application you will tell about
Hello Surya,
Thanks for your interest in Quant Next.
Through the course, you will see with Python code:
- how to price vanilla options with the Heston model using the semi-analytic formula and compare it with Monte Carlo simulations
- how the different Heston parameters impact the shape of the volatility surface
- how to calibrate the parameters to market prices
- how to estimate the risk neutral density function from the characteristic function with Fast Fourier transform
- how to price a path dependent exotic options by Monte Carlo simulations and path independent ones by numerical integration
Best regards,
Quant Next