992-Advanced Research on Financial Engineering-33046

Registration：Now ~ Any Time
Course Period：2011-02-07 ~ 2011-07-31

• A GARCH option pricing model with filtered historical simulation
• Demand-based option pricing
• European option pricing and hedging with both fixed and proportional transaction costs
• Jump and volatility risk premiums implied by VIX
• Jumps in financial markets A new nonparametric test and jump dynamics
• Option Pricing When Changes of the Underlying Asset Prices Are Restricted
• Pricing discretely monitored Asian options under Levy processes
• Stock Market Momentum, Business Conditions, and GARCH Option Pricing Models
• The market for crash risk
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