from August 22, 2011 to September 3, 2011 (Europe/Ljubljana)
Europe/Ljubljana timezone
Alexander Lipton: Stochastic volatility models and option pricing

In the lectures we will cover the following topics:

  • some mathematical issues in modelling equity derivatives,
  • some mathematical issues in modelling foreign exchange derivatives,
  • some mathematical issues in modelling credit derivatives including CVA and related issues.

>> Abstract in pdf format

>> Slides: Filling the Gaps

>> Slides: Lévy processes and their vol smile


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