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 |