Coursebooks 2017-2018

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Advanced derivatives

FIN-503

Lecturer(s) :

Trolle Anders

Language:

English

Remarque

Only for MA3. Special schedule: see the IF website http://sfi.epfl.ch/mfe/study-plan

Summary

The course covers a wide range of advanced topics in derivatives pricing

Content

Models with stochastic volatility and jumps, pricing of vanilla options by Fourier inversion techniques, numerical methods including pricing of American-style options by simulation and finite difference, exotic derivatives (such as barrier options and cliquets), volatility derivatives (such as variance swaps, volatility swaps, and options on volatility), and term structure modeling with unspanned stochastic volatility.

Keywords

Derivatives, stochastic volatility, jumps, numerical methods

Learning Prerequisites

Required courses

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Lectures and exercises

Assessment methods

40% combined weight on assignments given during the course

60% final exam - closed-book

Supervision

Office hours Yes
Assistants Yes
Forum Yes

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

The main textbook for the course is
Jim Gatheral, The Volatility Surface, Wiley, 2006.

 

In addition, a number of journal articles will be used.

Ressources en bibliothèque
Moodle Link

In the programs

Reference week

 MoTuWeThFr
8-9     
9-10BS260    
10-11    
11-12    
12-13     
13-14     
14-15     
15-16   EXTRANEF_126 
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German