Computational Finance

Academic year: 2007-2008 Course code module MINF1005 Semester: 1st semester Credits: 6 Study load (hours) 168 Theory (hours): 25,00 Practice/Exercises(hours): 20,00 Other (hours): Part-time program: 1 Instructor(s) Karel in 't Hout Language of instruction: Dutch Semester exam information: semester exam in January Contract restriction information: 1. Prerequisites *Algemene competenties Some knowledge of calculus and statistics is useful, but not necessary. *Sequentiality 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: Lectures Tutorials Practical sessions Personal work: Exercises Assignments - in group 5. Assessment method Exam: Written, without oral presentation Closed book 6. Compulsory reading – study material D.J. Higham: An Introduction to Financial Option Valuation. Cambridge Univ. Press (2004). 7. Recommended reading - study material 8. Tutoring laatste aanpassing: last update: 15/06/2007 13:55 karel.inthout