Quantitative Finance

Basic information

Workload: 

45h

Syllabus: 

Financial derivatives: European, American, exotic. Principle of non-arbitration. Risk-neutral measure. Derivatives pricing. Black & amp; Scholes. Bonds. Hedging. Risk rating agencies. Value at Risk (VaR). Models and pricing of interest rate, foreign exchange and commodity derivatives. Credit Risk Derivatives. Introduction to Real Options. Introduction to stochastic volatility models.


Numerical Methods: Binomial Tree; Monte Carlo simulations; Variance reduction methods; Longstaff-Schwartz method.
 

 

Bibliography

Mandatory: 

•    Hull, J. (2014). Options, Futures and Other Derivatives. Pearson. 9th Edition.

Complementary: 

•    Shreve, S. (2004). Stochastic Calculus for Finance Vol 1. Springer.
•    Shreve, S. (2004). Stochastic Calculus for Finance Vol 2. Springer.
•    Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering. Springer.
•    McNeil, A., Frey, R. and Embrechets, P. (2015). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton. Revised Edition.