Computational Finance Course- Lecture 6/14

Dear all,
Today I would like to share Lecture no 6 (out of 14) of the Computational Finance course!
We will discuss the class of Affine Jump Diffusion Processes. This is a very important lecture as it constitutes a base for pricing with Fourier transform that will be discussed later in this course.

Lecture slides you can find in the description of the lecture on YouTube.

Content of today’s lecture is as follows:
6.1. How to Choose a Pricing Method?
6.2. Fourier Transformation- Motivation
6.3. Characteristic Function for the Black-Scholes Model
6.4. Affine Diffusion Processes
6.5. Characteristic Function for High Dimensions
6.6. Affine Jump Diffusion Processes

—–> Lecture 6- Affine Jump Diffusion Processes
Lecture 7- Stochastic Volatility Models
Lecture 8- Fourier Transform for Option Pricing
Lecture 9- Monte Carlo
Lecture 10- Monte Carlo Simulation of the Heston Model
Lecture 11- Hedging and Monte Carlo Greeks
Lecture 12- Forward Start Options and Model of Bates
Lecture 13- Exotic Derivatives
Lecture 14- Summary​