Computational Finance: Lecture 5/14 (Jump Processes)

Описание: Computational Finance
Lecture 5- Jump Processes
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This course is based on the book:
"Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019.
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Codes and the slides can be found at: https://github.com/LechGrzelak/Comput...
See https://quantfinancebook.com/ for more details and for additional materials.
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0:00 Introduction
4:49 Inclusion of Jumps in the Stock Process
17:08 Poisson Process and Implementation in Python
29:08 Ito’s Lemma and Jumps
38:09 Jumps and Asset Dynamics under the Q-Measure
53:34 Partial Integro-Differential Equations
1:05:56 Different Jump Distributions and Implied Volatility
1:17:49 Expectation and Jump Processes
1:25:26 Characteristic Function for a Jump Process
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CONTENT OF THIS COURSE:
Lecture 1- Introduction and Overview of Asset Classes
Lecture 2- Stock, Options and Stochastics
Lecture 3- Option Pricing and Simulation in Python
Lecture 4- Implied Volatility
***** Lecture 5- Jump Processes
Lecture 6- Affine Jump Diffusion Processes
Lecture 7- Stochastic Volatility Models
Lecture 8- Fourier Transformation for Option Pricing
Lecture 9- Monte Carlo Simulation
Lecture 10- Monte Carlo Simulation of the Heston Model
Lecture 11- Hedging and Monte Carlo Greeks
Lecture 12- Forward Start Options and Model of Bates
Lecture 13- Exotic Derivatives
Lecture 14- Summary

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