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Quantitative Finance Book

Characteristic Function Methods

1. Recovering PDF/CDF from Characteristic Functions
2. Exact Heston Model Simulations for Characteristic Function Methods

Calibration

3. Heston Calibration
4. SSVI Implied Volatility Surface
5. Heston Stochastic Local Volatility: Calibration and Simulation

Pricing American Options

6. Intuition Behind the Longstaff-Schwartz Implementation
7. Pricing American Options by LSMC Method
8. Pricing American Options by Finite Difference
9. Pricing American Options with the COS Method

Hedging and Greeks

10. Greeks under Black-Scholes
11. Greeks via COS Method

Trading and Hedging

12. Black-Scholes: From Model to PnL
13. Heston Model: Hedging Under Stochastic Volatility
14. Heston Hedging under Stochastic Local Volatility

Volatility Forecasting

15. Predicting Realized Volatility

Repository
Open issue

Index

By Patrik Liba

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