国外量化投资课件Lecture9Quant.pdfVIP

Lecture 9: Entropy Methods for Financial Derivatives Marco Avellaneda G63.2936.001 Spring Semester 2009 Table of Contents 1. Review of risk-neutral valuation and model selection 2. One-dimensional models, yield curves 3. Fitting volatility surfaces 4. The principle of Maximum Entropy 5. Weighted Monte Carlo 1. Risk-Neutral Valuation and Model Selection Risk-neutral valuation Future states of th