IAM612 - Financial Modeling With Jump Processes

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Consent of IAM
Prerequisites: Consent of Instructor(s)

Course Catalogue Description

Lévy processes. Building Lévy processes. Multidimensional models with jumps. Simulation of Lévy processes. Option pricing with jumps: Stochastic calculus for jump processes, measure transformations for Lévy processes, pricing and hedging in complete markets, risk-neutral modeling with exponential Lévy processes. Integro-differential equations and numerical methods. Inverse problems and model calibration.

Course Objectives

Course Learning Outcomes

Tentative (Weekly) Outline

Levy processes. Building Levy processes. Multidimensional models with jumps. Simulation of Levy processes. Option pricing with jumps: Stochastic calculus for jump processes, measure transformations for Lévy processes, pricing and hedging in complete markets, risk-neutral modeling with exponential Levy processes. Integro-differential equations and numerical methods. Inverse problems and model calibration.

More Info on METU Catalogue

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