Examples

Contents:

• Pricing
  • Pricing with Heston
    • Initialisation of the model
    • Price via Monte Carlo
    • Price via Fourier Transform
    • Price via Carr-Madan formula
    • Other
  • Pricing with Bates
    • Initialisation of the model
    • Price via Monte Carlo
    • Price via Carr-Madan formula
    • Path simulations
• Calibration
  • With syntetic market price
    • Without noise
    • With noise
  • Impact of parameters
  • Calibration on market data
    • Calibration with an Heston model
    • Calibration with a Baites model
  • Heston calibration on market data
  • Bates calibration on market data
• Hedging
  • Hedging with Black-Scholes
    • Replication errors
    • Hedging with different volatilities
    • Hedging at different frequencies
    • Hedging with a misspecified model
  • Hedging with Heston
    • Replication errors
    • Evolution of the replication portfolio