Volatility Models
Implied volatility. Existence, uniqueness and properties. Asymptotic behavior. Local volatility. Stochastic volatility. Heston's model. Model calibration. Additional topics at the instructor's discretion.
Basic Information
Workload
60 hours
Requirements
Quantitative Finance
Mandatory:
- Gatheral. The volatility surface. Wiley.
- Fouque, Papanicolaou, Sircar e Solna. Multiscale Stochastic Volatility for Equity, Interest Rate and Credit Derivatives. Cambridge.
- Musiela e Rutkowski. Martingale Methods in Financial Modelling. Springer.
Complementary:
- Hull, J. (2014). Options, Futures and Other Derivatives. Pearson. 9° Edição.
- Björk. Arbitrage Theory in Continuous Time. Oxford Finance.
- Shreve. Stochastic Calculus for Finance Vol 2. Springer.
- Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering. Springer.
- Etheridge. A Course in Financial Calculus. Cambridge.