Advanced Methods in Finance:

"Implied Volatility Modelling"

Wrocław, 6-7.10.2005

Plan zajęć / Course outline


Wykładowcy / Lecturers
Szymon Borak, Kai Detlefsen (Berlin)

(Wykłady i ćwiczenia będą prowadzone w języku polskim i angielskim
Lectures and discussion classes will be held in Polish and English)

Ze względu na ograniczoną liczbę miejsc osoby zainteresowane proszone są o zarejestrowanie się poprzez wysłanie emaila - zawierającego imię i nazwisko, stanowisko oraz firmę/uczelnię - do Agnieszki Wyłomańskiej (Agnieszka.Wylomanska [at] pwr.wroc.pl)

 

Abstrakt / Abstract : The existence of the implied volatility smiles is one of the deficiencies of the Black-Scholes model. It has an impact on hedging and pricing exotic options. We present the models and methods which try to cope with the existence of the non-flat implied volatility surface. We focus both on the standard approach and our own recent research. The course starts with the repetition of the basic concepts of implied volatility. The different extensions of the Black-Scholes model are presented. The calibration problem is discussed in details. Additionally statistical models for dynamics of the implied volatility surface are introduced.

 

CZWARTEK / THURSDAY, 6.10.2005, building C11, room 5.05

9:15-10:45: I. Introduction/ Repetition of Implied volatility concepts
- Black-Scholes formula
- pricing methods (binomial trees, PDE)
- implied volatility concept
- implied volatility surface (IVS)

11:00-12:30: II. Local Volatility Model
- definitions
- implied binomial trees (IBT)
- calibration with Andersen Brotherthon-Ratcliffe method

13:15-14:45: III. Jump Diffusion / Stochastic Volatility Models
- Levy type models
- Heston model
- Bates model

PIATEK / FRIDAY, 7.10.2005, building C11, room 5.05

9:15-10:45: IV. Calibration problem
- FFT method for pricing options
- model risk
- calibration risk
- pricing exotic options (* depends on time)

11:00-12:30: V. Statistical Models of IVS Dynamics
- PCA for term structure and moneyness
- Dynamic Semiparametric Factor Model

13:15-14:45: VI. Skew Hedging (* depends on time)
- presentation of the forthcoming paper of S.B.

Uwagi / Comments :

Parts I + II + V + VI will be done by S.B., while parts III + IV by K.D. We will also give an extended introduction of ourselves (the presentation of the Institute and internship in Sal. Oppenheim).

Godziny zajęć mogą ulec nieznacznym zmianom i zostaną podane przez wykładowców na pierwszych zajęciach każdego dnia.

 


Last modified on 2005-09-26.