3 Hours; 3 Credits

This course explores the volatility surface. The implications of various modeling assumptions 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.

Prerequisite: MTH 9862