MM542: Computational Option Pricing (10 ECTS)
STADS: 13012201Level
Bachelor course
Teaching period
The course is offered in the spring semester.
Teacher responsible
Email: debrabant@imada.sdu.dkTimetable
| Group | Type | Day | Time | Classroom | Weeks | Comment |
|---|---|---|---|---|---|---|
| Common | I | Monday | 12-14 | U146 | 6,8,10-13,16-21 | |
| Common | I | Monday | 10-12 | U146 | 23 | |
| Common | I | Tuesday | 12-14 | U146 | 15 | |
| H1 | TE | Tuesday | 10-12 | U146 | 8 | |
| H1 | TE | Wednesday | 10-12 | U146 | 6,10-13,15-21 | |
| H1 | TE | Wednesday | 12-14 | U146 | 23 |
Show personal time table for this course.
Comment:
Ubegrænset deltagerantal. Fælles undervisning med MM833 Beregningsmæssig prisfastsættelse.
Prerequisites:
None
Academic preconditions:
The courses "Partial Differenial Equations and Numerics" and "Differential Equations, Computing and Modelling" are recommended.
Course introduction
In this course we introduce modelling of problems from financial mathematics, especially option pricing, by stochastic and partial differential equations. The models are solved by computational methods based on a sound mathematical analysis.
Qualifications
Generic competencies: Self-learning, critical thinking, teamwork, and problem solving.
Specific competencies: To simulate complex PDE-based models with the help of modern FE software, to simulate complex SDE based models.
Expected learning outcome
- Be able to deal with stochastic and partial differential equation models in finance
- Analyse and simulate stochastic and partial differential equations by the methods taught in the course
- Construct, implement and analyse numerical methods to compute approximate solutions of stochastic and partial differential equations
- Oral presentation and answer supplementary questions on the course syllabus and the problems solved in mandatory assignments
- Numerical simulation of European, Asian, lookback, barrier and digital options by multilevel Monte Carlo path simulation
- Numerical simulation of European options with local volatility, Lévy driven assets and stochastic colatility by the Finite Element method
- Numerical simulation of American options
- debrabant@imada.sdu.dk
Website
This course uses e-learn (blackboard).
Prerequisites for participating in the exam
Mandatory assignments. Pass/fail, internal evaluation by teacher. (13012212)
Assessment and marking:
Oral exam (10 ECTS). Danish 7-mark scale, internal evaluation. (13012202)
Expected working hours
The teaching method is based on three phase model.
Intro phase: 28 hours
Skills training phase: 28 hours, hereof:
- Tutorials: 28 hours
Educational activities Study phase: 56 hours
Language
This course is taught in Danish or English, depending on the lecturer. However, if international students participate, the teaching language will always be English.
Remarks
This course is taught together with the master course MM8XX "Computational Option Pricing".
Course enrollment
See deadline of enrolment.
Tuition fees for single courses
See fees for single courses.
