Advanced Volatility Modeling (MAC 575)
Welcome to the webpage of the course “Advanced Volatility Modeling”. The course will take place as a reading course with tutorial in person at the university. The course will cover the following topics:
- the dynamics of implied volatility,
- local and stochastic volatility models,
- the theory and particle methods for McKean–Vlasov stochastic differential equations,
- the numerical implementation of calibration algorithms,
- applications to the pricing of exotic derivatives.
General Information
For the schedule and location of the lectures and tutorials, please see Portal2. All course materials (lecture notes, problem sheets, etc.) as well as further information will be made available in the course’s ILIAS group.
If you are interested in attending the course, please register for the ILIAS group. This ensures that you receive all relevant information about the course, but it does not obligate you to take the exam.
Team
Tutor: Martin Bergerhauser
Examiner: Prof. Dr. David Prömel
Exam
Style: oral exam of 30 min
Date: to be agreed on. Please contact me asap if you did not receive my emails regarding possible dates for the oral examination.
- You may reply in English or German.
- Everything (lectures, problem sheets, tutorials) is relevant for the exam.