LGS in Mathematical Finance (open to MRes/CDT-PhD students)


Doctoral Course: A unified approach to quadrature pricing in equity derivatives models: theory and practice (MF21)

By Dr Marcello Minenna (Consob-Bocconi)



Course Syllabus: Click here.


IMPORTANT: To attend this course you need to send an email Ian Marhsall at LSE for access.
Please send a message to
I dot Marshall at lse.ac.uk


Location and Times

Thursday 15 October: Room CLM 4.02, Clement House, Aldwych (4th Floor): 2pm to 5pm

Thursday 22 October: Room KSW 1.04, 20 Kingsway, Portugal Street (1st Floor): 11am to 2pm

Thursday 29 October: Room TW1 G.01, Tower One, Clements Inn (Ground Floor): 11am to 2pm

Thursday 5 November: Room 31L.LG.08, 32 Lincoln's Inn Fields (Economics Building, Lower Ground Floor): 11am to 2pm

Thursday 12 November: Room 32L.B.11, 32 Lincoln's Inn Fields (Economics Building, Basement Floor): 11am to 2pm

LSE maps and directions: Click herehere

A unified approach to quadrature pricing in equity derivatives models: theory and practice

Course lecturer: Dr Marcello Minenna, CONSOB-Bocconi

Syllabus

In this course a vast number of equity derivatives models is presented by implementing a standardized, uniform pricing approach. The first part is devoted to the development of a very general pricing representation that includes the major classes of equity derivatives models developed in literature (from Black-Scholes-Merton, CEV, local volatility to AJD and Pure Jump models). Generally these models are presented with heterogeneous techniques, notations and a plethora of various pricing representation; by starting from the simplest examples, the course bring back all the models in a uniform, formalized approach. In the second part the standardized analytical environment allows the regular deployment of powerful numerical techniques (i.e. adaptive quadrature schemes) that can solve in a flexible way the pricing and hedging problems regardless of the model's theoretical complexity: the course aims to end up with the building of the code of an efficient, modular "all-purpose pricing and calibration engine.

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