Academic Catalog

IAM612 FINANCIAL MODELING WITH JUMP PROCESSES

Course Code:	9700612
METU Credit (Theoretical-Laboratory hours/week):	3(3-0)
ECTS Credit:	8.0
Department:	Institute Of Applied Mathematics
Language of Instruction:	English
Level of Study:	Graduate
Course Coordinator:	Prof.Dr. AHMET HAYRÝ KÖREZLÝOÐLU
Offered Semester:	Fall or Spring Semesters.

Course Content

Lévy processes. Building Lévy processes. Multidimensional models with jumps. Simulation of Lévy processes. Option pricing with jumps: Stochastic calculus for jump processes, measure transformations for Lévy processes, pricing and hedging in complete markets, risk-neutral modeling with exponential Lévy processes. Integro-differential equations and numerical methods. Inverse problems and model calibration.