Stochastic Volatility with Levy Processes: Calibration and Pricing

Math Project Idea

In this thesis, stochastic volatility models with Levy processes are treated in parameter calibration by the Carr-Madan fast Fourier transform (FFT) method and pricing through the partial integro-differential equation (PIDE) approach. First, different models where the underlying log stock price or volatility driven by either a Brownian motion or a Levy… Contents 1 Introduction 1.1 [...]