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EF4820 - Derivatives Pricing I: Stock and FX

Offering Academic Unit
Department of Economics and Finance
Credit Units
3
Course Duration
One Semester
Pre-requisite(s)
Course Offering Term*:
Semester B 2021/22
Semester B 2022/23 (Tentative)

* The offering term is subject to change without prior notice
 
Course Aims

This course aims to develop students’ analytical and quantitative skills in the pricing of stock and currency derivatives. Key topics include fundamental pricing theory with different numeraires, Black-Scholes model, and numerical methods for PDEs, binomial models and Monte Carlo simulations. It also covers some advanced topics such as stochastic volatility and jump diffusion model. Students will be able to apply the quantitative methods to real life pricing and hedging stock and currency derivatives.


Assessment (Indicative only, please check the detailed course information)

Continuous Assessment: 50%
Examination: 50%
Examination Duration: 2 hours
 
Detailed Course Information

EF4820.pdf

Useful Links

Department of Economics and Finance