Financial Modeling

Winter 2010, PSTAT 223B

Tu-Th 9:30-10:45 HSSB 3201

Jean-Pierre Fouque

	
		
		Office: South Hall 5504
fouque at pstat.ucsb.edu

Course Outline

  • Volatility models (local volatility, stochastic volatility) (2 lectures)
  • Implied volatility (practical issues) (2 lectures)
  • Fixed-income markets: short-term rate models (4 lectures)
  • HJM (2 lectures)
  • BGM (2 lectures)
  • Credit risk. First passage models (2 lectures)
  • Intensity based models (2 lectures)
  • Structure products (2 lectures)

  • Prerequisites:

  • PSTAT 213 A-B-C Introduction to Probability Theory and Stochastic Processes

  • PSTAT 223A (or equivalent)