|Course code module||MINF1005|
|Study load (hours)||168|
|Instructor(s)||Karel in 't Hout|
|Language of instruction:||Dutch|
|Semester exam information:||semester exam in January|
|Contract restriction information:|
Some knowledge of calculus and statistics is useful, but not necessary.
Download sequentiality table
2. Objectives (expected learning outcomes)
Knowledge of and insight into computational techniques for determining option prices.
3. Course content
This course provides an introduction into financial options and the effective computation of the prices of such options by computer simulations. Topics that will be discussed include: call and put options on assets, random variables, asset price models, Black-Scholes formulas, hedging, Monte-Carlo methods, and binomial trees. Ample use will be made of the software package Matlab to further enlarge the insight into the computational techniques.
4. Teaching method
Direct contact: LecturesTutorialsPractical sessions
Personal work: ExercisesAssignments - in group
5. Assessment method
Exam: Written, without oral presentationClosed book
6. Compulsory reading – study material
D.J. Higham: An Introduction to Financial Option Valuation. Cambridge Univ. Press (2004).
7. Recommended reading - study material
laatste aanpassing: last update: 15/06/2007 13:55 karel.inthout