Course ObjectiveThe purpose is to apply fundamental concepts underlying arbitrage
theory and martingale approach to derivative pricing.
Course ContentThis 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
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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