The Volatility Surface
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Overview
Subject area
MTH
Catalog Number
9875
Course Title
The Volatility Surface
Department(s)
Description
This course explores the volatility surface. The implications of various modelingassumptions such as stochastic volatility are explored as are the consequences for modeling of various empirical observations. The course covers the most recent technical developments in the field, such as multi-timescale modeling, efficient simulation of stochastic volatility models and model calibration. The latest products, such as volatility derivatives, are also covered in detail.
Typically Offered
Fall, Spring, Summer
Academic Career
Graduate
Liberal Arts
Yes
Credits
Minimum Units
3
Maximum Units
3
Academic Progress Units
3
Repeat For Credit
No
Components
Name
Lecture
Hours
3
Requisites
023119