Options and other derivatives, modeling and pricing
Options and other derivatives, modeling and pricing
Kurzus neve | Options and other derivatives, modeling and pricing |
---|---|
Tárgykód | OPNG0PA2 |
Kurzuskód | |
Kar | PSZK |
Tanszék | Alkalmazott Kvantitatív Módszertan Tanszék |
Tárgy jellege | szabadon választható, elmélet + gyakorlat |
Rövid tartalom | " 1. day Main derivative products (forwards and futures, options, exotics). The principle of arbitrage free pricing. Problem solving 2. day The binomial model. European versus American options. The put-call parity principle. Problem solving 3. day Geometric brownian motion and the Black-Scholes formula. Spread options and Margrabe’s formula. Problem solving 4. day Monte Carlo methods for modeling and pricing. Applications to some exotic options (e.g. barriers, digital options) Problem solving " |
Kurzus nyelve | angol |
Féléves óraszám | 16 |
Kreditérték | 2 |
Beszámítás | |
Hallgatói kör | Any bachelor or master student from any department |
Létszám | 10 |
Értékelés | " Grading will be based on homework assignments solved in excel which follow the examples solved together during the classes. " |
Előadók | " Kálmán S. Cziszter " |
További információ | |
Egyéb | " Invoicing: Excel exercise to be submitted " |
Óraidőpontok | |
Terem | |
Helyszín |