Number: 46915
Title: Advanced Derivative Modeling
Concentration: TBA
Prerequisites: 46945 - Stochastic Calculus for Finance II
Description: This course treats models in which underlying asset prices jump and/or have stochastic volatility.  There is a computational component, based on Fourier analysis and the fast Fourier transform.  Basic processes considered are Poisson and compound Poisson. Stochastic calculus and change-of-measure techniques will be developed for these processes.  Equity derivative models considered are local vol, Hull-White and Heston.  Reference:  J. Gatheral, The Volatility Surface:  A Practitioners Guide, Wiley, 2006.  (Rev. 4/08)