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Description:
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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)
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