Positive completion of Course I and Course II
Registration via LPIS
Day | Date | Time | Room |
---|---|---|---|
Tuesday | 04/30/24 | 09:00 AM - 12:15 PM | TC.3.07 |
Tuesday | 05/07/24 | 08:00 AM - 11:15 AM | TC.3.07 |
Tuesday | 05/14/24 | 09:00 AM - 12:15 PM | TC.3.07 |
Tuesday | 05/21/24 | 08:00 AM - 10:00 AM | TC.4.05 |
Tuesday | 05/28/24 | 09:00 AM - 12:15 PM | TC.3.07 |
Tuesday | 06/04/24 | 09:00 AM - 12:15 PM | TC.3.07 |
Tuesday | 06/11/24 | 09:00 AM - 12:15 PM | TC.3.07 |
Tuesday | 06/18/24 | 09:00 AM - 11:00 AM | TC.5.03 |
Unit #1 Introduction to pricing of assets in complete and incomplete markets, implications of the no-arbitrage principle
Unit#2 Fundamental theorem of asset pricing, review of the binomial option pricing model
Unit#3 Stochastic processes in continuous time, Ito’s lemma
Unit#4 Hedging in continuous time, Girsanov’s theorem, market price of risk
Unit#5 Black-Scholes formula, pricing and hedging of derivatives, implied volatility and limitations of the Black-Scholes framework
Unit#6 Introduction to Monte-Carlo simulation, application to terminal and pathwise payoffs for Geometric Brownian Motions
After completing the course, students will be able to
Although this course touches some very involved mathematical concepts (e.g., measure theory, stochastic calculus), the design of the course will only require prior knowledge in mathematics and statistics which could be expected from good students in economics and business administration showing some extra interest and motivation with respect to quantitative methods. In particular, students should be familiar with the concepts of partial derivatives, definite integrals, and conditional probabilities which could be refreshed by using any undergraduate textbook. As a consequence, students who might be interested in a rigorous treatment of the mathematical fundamentals are referred to graduate programs in this field or to suitable electives offered by the Institute for Statistics and Mathematics for undergraduate students.
One of the main course outcomes is the ability of students to compute fair values of financial instruments numerically with Monte-Carlo simulation. Although all cases and applications are designed in a way that MS Excel can still be used, a good command of R might be helpful.
Participation is compulsory. Students are not allowed to miss more than one unit.
The course will be delivered by in-class presentations in six units of 3:15 hours. Each unit will provide enough space for Q/A sessions. Two case studies have to be solved by students in take home assigments where feedback will be given individually.
Students will pass the course if more than 50% of all credits are earned and more than 50% of the credits of the endterm exam are earned and more than 50% of the credits of the home assignment 2 are earned. The pass marks will be distributed as follows: 3 if total credits > 60%, 2 if total credits > 70%, 1 if total credits > 80%.
Positive completion of Course I and Course II
Registration via LPIS
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