EF4820 - Derivatives Pricing I: Stock and FX | ||||||||||
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* 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 |