Implicit volatility. Existence, uniqueness and properties. Asymptotic behavior. Local volatility. Stochastic volatility. The Heston model. Model calibration. Additional topics at the instructor’s discretion.

References:
GATHERAL, J. – The Volatility Surface. Wiley, 2006.
MUSIELA, M., RUTKOWSKI, M. – Martingale Methods in Financial Modelling. Springer, 1998.
FOUQUE, J.-P., PAPANICOLAOU, G., SIRCAR, R. and S_LNA, K. – Mulsticale Stochastic Volatility For Equity, Interest Rate, and Credit Derivatives. Cambridge, 2013.