Universität Wien
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250096 SE Seminar (finance mathematics) (2011W)

4.00 ECTS (2.00 SWS), SPL 25 - Mathematik
Continuous assessment of course work

Details

Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Thursday 13.10. 17:00 - 18:30 Seminarraum
  • Thursday 20.10. 17:00 - 18:30 Seminarraum
  • Thursday 27.10. 17:00 - 18:30 Seminarraum
  • Thursday 03.11. 17:00 - 18:30 Seminarraum
  • Thursday 10.11. 17:00 - 18:30 Seminarraum
  • Thursday 17.11. 17:00 - 18:30 Seminarraum
  • Thursday 24.11. 17:00 - 18:30 Seminarraum
  • Thursday 01.12. 17:00 - 18:30 Seminarraum
  • Thursday 15.12. 17:00 - 18:30 Seminarraum
  • Thursday 12.01. 17:00 - 18:30 Seminarraum
  • Thursday 19.01. 17:00 - 18:30 Seminarraum
  • Thursday 26.01. 17:00 - 18:30 Seminarraum

Information

Aims, contents and method of the course

The seminar is based on the book Multiscale Stochastic Volatility for Equity,
Interest-Rate and Credit Derivatives of Fouque, Papanicolaou, Sircar, and
Solna. The first chapter will be skipped since it is agreed to be essentially known to the participants. The topics range over:

- An introduction to Stochastic Volatility Models
- Volatility Time Scales
- First Order Perturbation Theory
- Implied Volatility Formulas & Calibration with application to Exotic Derivatives
- Application to American Derivatives
- Hedging Strategies
- Around the Heston Model
- Interest Rate Models
- Credit Risk: Structural Models with Stochastic Volatility
- Credit Risk: Multiscale Intensity-Based Models

Assessment and permitted materials

Minimum requirements and assessment criteria

Examination topics

Reading list

Association in the course directory

MSTS

Last modified: Mo 07.09.2020 15:40