This information is indicative and can be subject to change.
Calibration in quantitative finance
Teacher: Noufel Frikha
E-mail: [email protected]
ECTS: 2.5
Evaluation: written exam and/or project
Previsional Place and time:
Prerequisites:
Syllabus:
References:
Calibration in quantitative finance
Teacher: Noufel Frikha
E-mail: [email protected]
ECTS: 2.5
Evaluation: written exam and/or project
Previsional Place and time:
Prerequisites:
- Probability Theory
- Stochastic calculus
- Financial mathematics
Syllabus:
- The Black-Scholes model and the implied volatility
- Local volatility models and Dupire’s implicit diffusion
- Stochastic volatility models and the implied volatility
- Some computational methods in derivatives pricing and model calibration
References:
- J. Gatheral: The volatility surface, a practitioner’s guide, Wiley Finance, 2006.
- B. Dupire, Pricing with a smile, RISK, 7 (1994), pp. 18–20.