<li><h1 class="bookTitle">Levy Processes in Finance</h1></li><li><h2 class="subtitle">Pricing Financial Derivatives</h2></li><li>by <a href="http://books.global-investor.com/pages/newSearch.htm?ginPtrCode=00000&amp;PageSize=20&amp;BookAuthor=Wim Schoutens">Wim Schoutens</a></li><p></p><p align="center"><font face="Verdana, Arial, Helvetica, sans-serif" color="#00597b" size="3"><b>Wim Schoutens Course - 25-26 September - London</b></font></p><p align="center"><strong><font face="Verdana, Arial, Helvetica, sans-serif" color="#00597b" size="3">Advanced Equity Models: Pricing, Calibration and <br/>Monte Carlo Simulation </font></strong></p><p align="left"><font face="Verdana, Arial, Helvetica, sans-serif" size="2"><strong>Day One:&nbsp; Advanced Equity Models </strong><br/><br/>Workshop: Introduction to Matlab for Financial Applications <br/>Shortfalls of the Black-Scholes Model <br/>Jump Models (Variance Gamma and other Levy models) <br/>Stochastic Volatility Models (Heston, Heston with jumps, Levy with stochastic Volatility) <br/>Pricing European Options using Characteristic Functions and FFT techniques <br/>Workshop: Matlab implementation of FFT pricing <br/><br/><strong>Day Two: Calibration </strong></font></p><p align="left"><font face="Verdana, Arial, Helvetica, sans-serif" size="2">Workshop: Matlab implementation of calibration algorithm <br/>Monte Carlo Simulations Theory <br/>Pricing European options using Monte Carlo simulation A perfect Calibration! Now What? <br/>Workshop: PC-based implementation of Monte Carlo Simulations and Exotic <br/>Option pricing (Matlab): Pricing of Barriers, Cliquets, reverse Cliquets, CPPIs, Asians, ... <br/><br/>At the end of the course delegates should have running on their machines <br/>(Matlab): <br/>FFT pricer for vanillas for VG and/or Heston <br/>Calibration algorithm for VG and/or Heston <br/>Monte Carlo Pricers for VG and/or Heston for a range of exotic options </font></p><p align="left"><font face="Verdana, Arial, Helvetica, sans-serif" size="2"><strong>Cost: </strong>&pound;1,495+VAT. Contact Claire Riseley if interested in attending, <a href="mailto:c.riseley@7city.com">c.riseley@7city.com</a>. </font></p><p align="left"><font face="Verdana" size="2"></font></p><p align="left"></p>