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: Review of Stochastic calculus Summary of week 1
- Homework 1
- Week 2: Option pricing: Martingale approach. Summary of week 2. Reference: Shreve, Continuous time finance II, chapter 5. Bjork, Arbitrage in continuous time finance chapters 10-12.
- Week 3: Option Pricing: PDE approach. References: Shreve, Continuous time finance II, chapters 5,6. Bjork, Arbitrage in continuous time finance chapters roughly 7-9. Bonus read: Bergomi, Stochastic Volatility Modeling, chapter 1, 2.
- Homework 2
- Week 4: Interest rate models, finite difference implicit and explicit schemes for PDEs. References: Shreve, Continuous time finance II, chapters 6 and 10 (interest rates).
- Week 5: Optimal Stopping problems and American Options. References: Bjork, Arbitrage in continuous time finance, chapter 21. Bonus read: Nonlinear Option Pricing (Guyon, Henry-Labordere), section 6.8.3 on Longstaff-Schwartz.
- Week 6: Introduction to stochastic optimal control. Notes on Stochastic Optimal Control
- Week 7: Advanced topics, Q&A for the midterm.
- Homework 3
- Midterm
- Weeks 9-14: Bruno Dupire, on trading and hedging in local volatility and stochastic volatility models
- Final