MTH 9875
The Volatility Surface · 3 credits · Spring 2027
Requirements
Prerequisite: MTH 9862
About this course
This course explores the volatility surface. The implications of various modelingassumptions 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.
Seat status as of Oct 2, 10:36 AM ET. Seats can change between refreshes.
No sections have been posted for this course in this term yet.