Dilip B. Madan: Financial modelling with jumps
The lectures will introduce Lévy and Sato Processes as models for option surfaces followed by a study of modeling dependence using Lévy processes. This will be followed by an introduction to Conic finance and two price economies with applications to identifying capital requirements, determining the value of the taxpayer put option and introducing the new hedging criterion of capital minimization. The procedures will be illustrated in both static and dynamic hedging contexts.
Slides from lectures