Instructors: Bruno Dupire, Monty Essid
The notes/slides not posted on this website are available on the NYU Classes website in the ressource tab.
- Syllabus
- Week 1: Summary of week 1
- Homework 1
- Week 2: Summary of week 2. Reference: Shreve, Continuous time finance II, chapters 5
- Week 3: References: Shreve, Continuous time finance II, chapters 5,6, and Bergomi, Stochastic Volatility Modeling, chapter 1,2
- Homework 2
- Week 4: References: Shreve, Continuous time finance II, chapter 10
- Week 5-6: Volatility Models, see Bruno’s slides.
- Week 7: References: Notes by Leif Anderson on xVA and Cox default processes, and Guyon and Henry-Labordère, Non-Linear Option Pricing chapter 13.4
- Week 9-10: Volatility Models II, see Bruno’s slides, Pricing and hedging with smiles and Arbitrage pricing with stochastic volatility
- Homework 3
- Week 11: Notes on Stochastic Optimal Control
- Week 12: Optimal stopping time problems. References: Bjork, Arbitrage in Continuous Time Finance, Chapter 21
- Week 13: Guest Lecture by Bryan Liang: Special techniques for special Events. Topics covered include volatility analysis (return days, over the weekend, clustering) and events with binary outcomes predictions such as elections. See Bryan’s Slides.
- Week 14: Local Volatility, Dupire Equation, Calibration. See Bruno’s slides.