Levy Processes in Finance

Pricing Financial Derivatives

by Wim Schoutens

Wim Schoutens Course - 25-26 September - London

Advanced Equity Models: Pricing, Calibration and
Monte Carlo Simulation

Day One:  Advanced Equity Models

Workshop: Introduction to Matlab for Financial Applications
Shortfalls of the Black-Scholes Model
Jump Models (Variance Gamma and other Levy models)
Stochastic Volatility Models (Heston, Heston with jumps, Levy with stochastic Volatility)
Pricing European Options using Characteristic Functions and FFT techniques
Workshop: Matlab implementation of FFT pricing

Day Two: Calibration

Workshop: Matlab implementation of calibration algorithm
Monte Carlo Simulations Theory
Pricing European options using Monte Carlo simulation A perfect Calibration! Now What?
Workshop: PC-based implementation of Monte Carlo Simulations and Exotic
Option pricing (Matlab): Pricing of Barriers, Cliquets, reverse Cliquets, CPPIs, Asians, ...

At the end of the course delegates should have running on their machines
(Matlab):
FFT pricer for vanillas for VG and/or Heston
Calibration algorithm for VG and/or Heston
Monte Carlo Pricers for VG and/or Heston for a range of exotic options

Cost: £1,495+VAT. Contact Claire Riseley if interested in attending, c.riseley@7city.com.