Today I would like to share with you Lecture no 12 (out of 14) of the Computational Finance series! Today we will cover the topics on Forward Start Options, we will discuss the Heston model with Jumps (the model of Bates) and the concept of pricing of Variance Swaps. Enjoy!
Lecture slides and Python codes you can find in the lecture’s description on YouTube.
The content of today’s lecture is as follows:
12.1. Forward-Start Options
12.2. Characteristic Function for Pricing of Forward Start Options
12.3. Forward Start Options under the Black-Scholes Model
12.4. Forward Start Options under the Heston Model
12.5. Forward Implied Volatility with Python
12.6. The Bates Model
12.7. Variance Swap
—–>Lecture 12- Forward Start Options and Model of Bates
Lecture 13- Exotic Derivatives
Lecture 14- Summary