Course ObjectiveThe purpose is to introduce fundamental concepts underlying arbitrage
theory and martingale approach with the emphasis on practical
applications in derivative pricing.
Course ContentThis course is an introduction to stochastic processes and their
application in Finance. The purpose is to introduce fundamental concepts
underlying arbitrage theory and martingale approach with the emphasis on
practical applications in derivative pricing. It consists of two major
parts: Fundamentals (period 1) and Derivatives (period 2).
The second part introduces a broad range of derivatives and applies the
fundamental principles from the first period to price and hedge those
derivatives. The scope includes European and American options, Forward
contracts, Exotic options, zero coupon and swap pricing, and will be
extended to interest rate models to price interest rate derivatives.
Teaching MethodsTwo lectures and one tutorial per week (tutorials alternate between
problem-solving and computer-based)
Method of AssessmentHomework, computer assignments and written exam
Entry RequirementsStochastic Processes for Finance: Fundamentals
LiteratureHull "Futures, Options and Other Derivatives"
Bjork "Arbitrage Theory in Continuous Time"
Target AudienceMSc Honours program in Quantitative Risk Management
MSc Financial Econometrics
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. S.A. Borovkova|
|Examiner||dr. S.A. Borovkova|
dr. S.A. Borovkova
You need to register for this course yourself
Last-minute registration is available for this course.
|Teaching Methods||Lecture, Study Group|
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