Differences
This shows you the differences between two versions of the page.
Both sides previous revision Previous revision Next revision | Previous revision | ||
en:projects:msp:lthi5 [2007/12/06 11:58] leveque |
en:projects:msp:lthi5 [2008/12/04 16:30] (current) leveque |
||
---|---|---|---|
Line 1: | Line 1: | ||
- | ===== Stochastic Volatility Models ===== | + | Master semester project: 2008-2009 |
+ | |||
+ | |||
+ | |||
+ | |||
+ | |||
+ | ==== Stochastic Volatility Models ==== | ||
\\ | \\ | ||
+ | |||
**Description:**\\ | **Description:**\\ | ||
Line 8: | Line 15: | ||
\\ | \\ | ||
**Prerequisites:**\\ | **Prerequisites:**\\ | ||
- | The student should be at ease with both probability and Matlab programming.\\ | + | The student should have a prior knowledge of stochastic calculus.\\ |
\\ | \\ | ||
**References:** | **References:** | ||
+ | |||
+ | D. Lamberton, B. Lapeyre, "Introduction au calcul stochastique applique a la finance", Ellipses, 1997.\\ | ||
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.\\ | 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.\\ | ||
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.\\ | 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.\\ | ||
- | |||
**Supervisor:** | **Supervisor:** | ||
Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR-132 * tel: 38112\\ | Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR-132 * tel: 38112\\ | ||
+ | \\ | ||
- | [[en:projects:2007-2008:mtp|back to master semester projects]] | + | [[en:projects:mastersemester:msp|back to master semester projects]] |