Volatility Models

Implied volatility. Existence, uniqueness and properties. Asymptotic behavior. Local volatility. Stochastic volatility. Heston's model. Model calibration. Additional topics at the instructor's discretion.

Basic Information

Workload
45 hours
Requirements
Quantitative Finance

Mandatory: 

  • Gatheral. The volatility surface. Wiley.
  • Fouque, Papanicolaou, Sircar e Solna. Multiscale Stochastic Volatility for Equity, Interest Rate and Credit Derivatives. Cambridge.
  • Musiela e Rutkowski. Martingale Methods in Financial Modelling. Springer.

Complementary: 

  • Hull, J. (2014). Options, Futures and Other Derivatives. Pearson. 9° Edição.
  • Björk. Arbitrage Theory in Continuous Time. Oxford Finance.
  • Shreve. Stochastic Calculus for Finance Vol 2. Springer.
  • Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering. Springer.
  • Etheridge. A Course in Financial Calculus. Cambridge.