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

45 hours
Quantitative Finance


  • 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.


  • 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.