Stochastic Processes for Finance and Derivatives Markets

2019-2020

Course Objective

The purpose is to apply fundamental concepts underlying arbitrage
theory and martingale approach to derivative pricing.

Course Content

This course is the continuation of the course Stochastic Processes for
Finance: The Fundamentals. .¶

This course 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, FX options, Barrier options, other Exotic options, zero
coupon bond and swap pricing, interest rate models and interest rate
derivatives.

Teaching Methods

Two lectures and one tutorial per week (tutorials alternate between
problem-solving and computer-based)

Method of Assessment

Homework, computer assignments and written exam

Entry Requirements

Stochastic Processes for Finance: Fundamentals

Literature

Hull "Futures, Options and Other Derivatives"
Bjork "Arbitrage Theory in Continuous Time"
lecture materials

Target Audience

MSc Honours program in Quantitative Risk Management
MSc Financial Econometrics

General Information

Course Code E_FIN_SPFDM
Credits 6 EC
Period P2
Course Level 400
Language of Tuition English
Faculty School of Business and Economics
Course Coordinator dr. S.A. Borovkova
Examiner dr. S.A. Borovkova
Teaching Staff dr. S.A. Borovkova

Practical Information

You need to register for this course yourself

Last-minute registration is available for this course.

Teaching Methods Lecture, Study Group
Target audiences

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