ACF Lecture 3 - Local volatility

Applied Computational Finance Lecture 3 - Local volatility

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Zou, Yihan (2025). ACF Lecture 3 - Local volatility. Q2 ecosystem. Available at https://quantinar.com/course/983/acf-lecture-3---local-volatilit or http://dx.doi.org/10.24818/IDA-CL/2025.126.

@misc{zou2025, author = {Zou, Yihan}, title = {ACF Lecture 3 - Local volatility}, year = {2025}, howpublished = {Q2 ecosystem}, doi = {http://dx.doi.org/10.24818/IDA-CL/2025.126.}, url = {https://quantinar.com/course/983/acf-lecture-3---local-volatilit} }
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	Applied Computational Finance Lecture 3 - Local volatility (pdf)	898.45 K

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ACF Lecture 3 - Local volatility

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In this lecture, we will study the important concept of local volatility which is used to fix the deficiency in the Black-Scholes model. We will look at Dupire’s model and study various other implications of local volatility and different properties of implied volatility surfaces.