Advanced Derivative Models
Course Number: 46915
Description: Building on the theory developed in Math 46945: Stochastic Calculus II, this course treats advanced models and methods for derivative pricing. This includes a detailed discussion of local and stochastic volatility models, and the analytical and computational techniques that make pricing and model calibration tractable in these settings.
Text: J. Gatheral, “The Volatility Surface: A Practitioner’s Guide”, Wiley, 2006.