Instructor: John W. Welborn
Course on canvas.dartmouth.edu.⇗
Syllabus
Lecture | Day | Date | Topic | Reading(s) | Prof | Psets |
1 | Tue | 1-Apr | Overiew of Exotic and Path-Dependent Options | Wilmott 11 | JW | |
2 | Thu | 3-Apr | Historical volatility and OHLC | Wilmott 9.1-9.3 | EvE | |
3 | Tue | 8-Apr | Multi-Asset Options and Quantos | Wilmott 12, Baxter 4.3 | JW | |
4 | Thu | 10-Apr | VIX and variance swaps | Derman 4 | EvE | PS1 |
5 | Tue | 15-Apr | Barrier Options | Wilmott 13, Wilmott (1995) | JW | |
6 | Thu | 17-Apr | Time-dependent volatility | Derman 13 | EvE | |
7 | Tue | 22-Apr | Bloomberg and Exotic Options | JW | ||
8 | Thu | 24-Apr | The implied tree of Derman-Kani | DK ’94, Derman 14 | EvE | PS2 |
9 | Tue | 29-Apr | Short Selling | Natenberg | JW | |
10 | Thu | 1-May | Local volatility and Dupire's equation | Derman 15 | EvE | |
11 | Tue | 6-May | Fixed Income Products | Wilmott 14 | JW | |
12 | Thu | 8-May | From local to stochastic volatility | EvE | PS3 | |
13 | Tue | 13-May | One-Factor IR Modeling | Wilmott 16 | JW | |
14 | Thu | 15-May | The Heston stochastic vol model | EvE | ||
15 | Tue | 20-May | Yield curve fitting and IR Derivatives | Wilmott 17,18 | JW | |
16 | Thu | 22-May | The Hull-White stochastic vol model | Derman 21 | EvE | |
17 | Tue | 27-May | Portfolio Management | Wilmott 21 | JW | PS4 |
18 | Thu | 29-May | The valuation PDE for stochastic vol; SV with jumps. | Derman 20 | EvE | |
Tue | 3-Jun | Final Project Presentations | ||||
Final Exam starts @ TBD | ||||||
Final Exam ends @ TBD |