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 HAYR KREZLOLU
Offered Semester: Fall or Spring Semesters.

Course Content

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