We have worked on the following projects:

1. Calibration of the Heston Model: Here we learnt how to get the parameters of this stochastic volatility model. We analyze a little bit where the solution for the price of a Call comes from. Then we studied an optimization algorithm called Differential Evolution and program it in Phyton to make the calibration possible. You can download the file here-> Calibration

2. Interpolation of the implied volatility surface: We discuss how to calculate the BS implied volatility and how an implied volatility surface can be constructed. We discuss why the smile and skew appears, and also talk about the term structure of volatilities. We learnt about polynomial interpolation techniques like natural cubic splies, broadley splines and linear interpolation of total variance. We apply these tools to get a volatility surface. We also discussed the conditions for an arbitrage free volatility surface. You can download the file here-> VolSurface Interpolation

3. Theoretical pricing of volatility swaps: We work in a project with The Volatility Exchange - VOLX to price volatility swaps on the S&P500 and Nasdaq-100 indexes.

4. We are planning to participate in the Rotman International Trading Competition next year.