Dr. Paul Wilmott’s take on the Uncertain Volatility Model

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Dr. Paul Wilmott is the founder and faculty member of the Certificate in Quantitative Finance (CQF). He is world-renowned as a leading expert on quantitative finance and his research work is extensive, with more than 100 articles in leading mathematical and finance journals, as well as several internationally acclaimed books on mathematical modeling and derivatives.

 

Watch this 30-minute video on Uncertain Parameters. This excerpt is taken from a 2.5-hour CQF Module 3 lecture Advanced Volatility Modeling in Complete Markets.
In the full lecture Dr. Paul Wilmott:

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  • Explains how the local volatility model works
  • Goes through the mathematics of calibration
  • Discusses the pros and the cons of this model
  • Introduces the Uncertain Volatility Model
  • Shows the realistic properties of the model
  • Gives example results
  • Warns about some of the dangers of using Vega to measure risk
  • Shows how the model can be used for static hedging of derivatives with exchange-traded products
  • Optimizes the static hedge to maximize value
  • Compares and contrasts the two models

 

Only the topics in bold are included in this sample video. 

Access to this video will expire on 21st November 2019.

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Paul Wilmott