SSF 2006

Courses, professors and summaries

Volatility modelling - C1 Course 1 (8 hours)
prof. Bruno Dupire

Summary:
  • Modelling implied volatility smiles and skews
    • Origin of the volatility skew
    • Mechanisms to generate skews
    • Impact on derivative prices
    • Barrier options as skew trades
  • Model review
    • History of volatility models
    • Black-Scholes model
    • Local volatility model
    • Stochastic volatility models
    • Models with jumps and Levy processes
  • Advanced volatility analysis
    • Future skews and sensitivities of the ATM implied with respect to the spot price in these models
    • Volatility: estimation, relationships between local and implied
    • Delta hedge: calendar time and business time delta hedge, application to volatility derivatives
    • Impact of the skew on exotics: case study with barrier options
    • Robust hedging: decomposing volatility risk across strikes and maturities



Optimal stopping and American options - C2 Course 2 (8 hours)
prof. Damien Lamberton

Summary:
  1. Optimal stopping: discrete time
  2. Optimal stopping: continuous time
  3. Pricing and hedging of American options
  4. Variational inequalities
  5. Numerical methods



Bruno Dupire

Bruno DUPIRE has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products before joining Bloomberg to develop pricing, risk management and arbitrage models. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and subsequent stochastic volatility extensions. Before these years, he obtained a Master's Degree in Artificial Intelligence, a PhD in Numerical Analysis and introduced the use of Neural Networks for financial time series forecasting. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of Derivatives and Risk Management.

Recently, he received the following awards:
Wilmott Award 2006
Global Derivatives Trading & Risk Management 2006

Damien Lamberton

Damien Lamberton is Professor of Mathematics at the university of Marne-la-Vallée (France). His research interests are in probability theory and mathematical finance. He is associate editor of Mathematical Finance and ESAIM PS.

(http://www.institut-europlace.com/mapping/ief.phtml?m=11&r=383)