250096 SE Seminar (Finanzmathematik) (2011W)

The seminar is based on the book Multiscale Stochastic Volatility for Equity,
Interest-Rate and Credit Derivatives of Fouque, Papanicolaou, Sircar, and
Solna. The first chapter will be skipped since it is agreed to be essentially known to the participants. The topics range over:

- An introduction to Stochastic Volatility Models
- Volatility Time Scales
- First Order Perturbation Theory
- Implied Volatility Formulas & Calibration with application to Exotic Derivatives
- Application to American Derivatives
- Hedging Strategies
- Around the Heston Model
- Interest Rate Models
- Credit Risk: Structural Models with Stochastic Volatility
- Credit Risk: Multiscale Intensity-Based Models