Volatility Master Class For Quants by Bruno Dupire
A practitioner-oriented guide to modern volatility modeling and derivatives, focusing on constructing arbitrage-free volatility surfaces, relating implied, local, and stochastic volatility, and pricing and hedging both vanilla and exotic options. It develops the local-volatility forward equation, forward variance modeling, and volatility-of-volatility concepts, and links these to instruments such as variance swaps and VIX products, with attention to dynamic hedging, smile dynamics, and path dependence. Emphasis is placed on numerical implementation, robust calibration, and model risk, including local–stochastic volatility extensions and jump components, supported by market-informed insights and exercises for quantitative practitioners.
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- English
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