from August 22, 2011 to September 3, 2011 (Europe/Ljubljana)
Europe/Ljubljana timezone
Martijn R. Pistorius: Stochastic volatility models with jumps

Option prices in FX and equity markets are well-known to give rise to volatility smiles, and more generally volatility surfaces. The classical Geometric Brownian Motion model cannot capture these phenomena, which has led to the quest for alternative models. This short course provides an introduction to a tractable class of stochastic volatility models with jumps. After presenting the ingredients of the model, we will derive tractable expressions for the values of various vanilla and exotic derivatives under this model. We illustrate with calibration results in the FX market.

>> Abstract in pdf format

>> Link to lecture notes


<< Back to the list of courses.