COURSES |
FINE 704 Options and Risk Management. PhD Course. Fall 2008
Student Presentations
Outline
Conditional Mean Models
Tsay Chapters 2 and 8.
C03 Chapter 1.
Conditional Variance Models
RiskMetrics 2006 Methodology
Volatility
Processes and Volatility Forecasting with Long Memory
Realized Volatility
Forecasting and Market Microstructure Noise
S&P500 Intraday
Data
Conditional Multivariate Models
Realized Correlation
Copula I
Copula II
Volatility Timing
Using Daily Data
Volatility
Timing Using Intraday Data
Parametric Portfolio Policies
Option Valuation with i.i.d Returns
Backus et al
CJ1
Data
Option Valuation with GARCH
On Risk
Neutralization
On the Choice of
GARCH Dynamic
Component
GARCH
Option Valuation with SV
CHJ2
CJM1
CJM2
Option Valuation with Jumps
Bakshi, Cao
and Chen
Eraker
Broadie, Chernov, and Johannes
Christoffersen,
Heston and Jacobs
IMPM Finance Module
Damodaran Article
Black-Scholes Formula in
Excel
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