- Title: Pricing of exotic derivatives in the presence of jumps and stochastic volatility
- Description: In many cases we see that real assets cannot be modeled with reasonable accuracy by Geometric Brownian motions. So we need more complex models to get a good fit to real data. This project will deal with techniques to valuate derivatives using such models. Both for simple so called plain vanilla options such as European puts and calls but also for more exotic derivatives such as American options and Barrier options. Depending on your specific field of interest it can be focused in different directions. Suggested paths: * Simulation based techniques * Fourier methods * PDE methods It is also possible to combine and compare pro and cons of the different methods. Literature: Exotic option pricing and advanced Lévy models / edited by Andreas Kyprianou, Wim Schoutens and Paul Wilmott, Chichester : John Wiley, cop. 2005. Financial modelling with jump processes / Rama Cont, Peter Tankov Boca Raton, Fla. ; London : Chapman & Hall/CRC, cop. 2004 Available as ebook:http://www.crcnetbase.com/isbn/978-1-58488-413-2
- Contact: Magnus Wiktorsson
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Last update: 2013-04-11
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