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