2017 Spring 2015 Spring
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MM833: Computational Option Pricing (10 ECTS)

STADS: 13012301

Level
Master's level course approved as PhD course

Teaching period
The course is offered in the spring semester.

Teacher responsible
Email: debrabant@imada.sdu.dk

Timetable
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
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Comment:
Ubegrænset deltagerantal. Fælles undervisning med MM542 Beregningsmæssig prisfastsættelse af optioner

Prerequisites:
None

Academic preconditions:
The courses “Partial Differential 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
  1. Be able to deal with stochastic and partial differential equation models in finance
  2. Analyse and simulate stochastic and partial differential equations using appropriate, advanced methods and modern software.
  3. Design and perform reliable simulations of SDE and PDE models
  4. Oral presentation and answer supplementary questions on the course syllabus and the problems solved in mandatory assignments.
Subject overview
  • 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 volatility by the Finite Element method
  • Numerical simulation of American options
Literature
    Meddeles ved kursets start.


Website
This course uses e-learn (blackboard).

Prerequisites for participating in the exam
Mandatory assignments must be passed to participate in the exam. The assignments are evaluated on a pass/fail basis. (13012312)

Assessment and marking:
  1. Oral exam, is evaluated by internal censorship by the Danish 7-mark scale (10 ECTS). (13012302)
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 MM5XX “Computational Option Pricing”. The course MM8XX cannot be taken in addition to MM5XX.

Course enrollment
See deadline of enrolment.

Tuition fees for single courses
See fees for single courses.