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| - | ===== Stochastic Volatility Models ===== | + | Master semester project: 2008-2009 |
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| + | ==== Stochastic Volatility Models ==== | ||
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| + | **Description:**\\ | ||
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| + | The purpose of the project is to study the theory behind the Black & Scholes formula and various volatility models, with a practical application to option pricing. | ||
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| + | **Prerequisites:**\\ | ||
| + | The student should have a prior knowledge of stochastic calculus.\\ | ||
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| + | **References:** | ||
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| + | D. Lamberton, B. Lapeyre, "Introduction au calcul stochastique applique a la finance", Ellipses, 1997.\\ | ||
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| + | S. A. Hesten, "A Closed-Fom Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options", The Review of Financial Studies, Vol . 6, No 2, 1993.\\ | ||
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| + | E. Derman, I. Kani, "Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility", International Journal of Theoretical and Applied Finance (IJTAF), Vol. 1, No 1, January 1998, pp. 61 - 110.\\ | ||
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| + | **Supervisor:** | ||
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| + | Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR-132 * tel: 38112\\ | ||
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| + | [[en:projects:mastersemester:msp|back to master semester projects]] | ||