The course will tackle the following topics:
- Stock data:
- Sequential stock data, in one dimension (prices, returns, realized and Parkinson volatilities, autocorrelation, serial information)
- Sequential stock data in higher dimension (correlation, Markowitz)
- Standard trading strategies and their backtest
- Market microstructure (order book, bid-ask spreads, liquidity risk)
- Derivatives and options data :
- Introduction/reminders on forward and future contracts, no-arbitrage principles
- Option prices (on a large equity index such as SP500), put-call parity.
- Black Scholes formula with some justification (without continuous time stochastic calculus), numerical evaluation of implied volatilities.
- Static no-arbitrage conditions on option prices and implied volatilities, fitting of a parametric implied volatility smile models (SVI, SSVI).
- Teaching coordinator: De Marco Stéfano
- Teaching coordinator: Garcin Matthieu