Marcello Minenna on Advanced derivative pricing and model calibration

London

8 & 9 June 2010

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Learning outcomes

By the end of the course delegates will have a better understanding of how to address the significant challenges that lie behind the implementation and calibration of derivative pricing models with specific knowledge about:

• The stochastic nature of interest rates
• Numerical solution to the pricing problem in a levy setting
• How to price and hedge in discrete and continuous time
• Pricing at Expiry Time: probabilistic representations of prices and risk-neutral scenario tables
• Implementing fast routines for models with stochastic volatility and interest rate models
• Investigating the nature of jumps: Poisson processes and stochastic time hypothesis
• The theory and practice of calibrating levy models to market data

Course dates & venues

Course tutor

Marcello Minenna

Teaching assistant

Paola Verzella