Exotic Options and Structured Products

Crédit : 3 ECTS
Langue du cours : anglais

Description du contenu de l'enseignement

Class is divided into 6 sessions of three hours each. Class alternates the teaching of the theory used and practical applications, including calibration of models to market data, as well as Monte Carlo simulations Learned Monte Carlo simulations, Local Volatility and Stochastic Volatility Calibration, Techniques Hedging techniques for options.

Key words : Exotics, structured, equity derivatives, local volatility, stochastic volatility, Monte-Carlo simulation, hedging.

This class considers Exotic Options and Financial instruments and the valuation theory used to price them. Class focuses on Equity Derivatives. Local and stochastic volatility frameworks are defined and used to price those instruments by using Monte-Carlo simulations. Practical examples are used to build from scratch valuation tools generally using Excel®.

Enseignant responsable

JEAN FRAICHOT



Année universitaire 2019 - 2020 - Fiche modifiée le : 28-02-2019 (14H59) - Sous réserve de modification.