Course Descriptions
Derivatives:
Quantitative Methods ( 2 units )
This course emphasizes the pricing of derivatives in continuous
time, from the formulation of the pricing problem to the
implementation of computational and numerical solution techniques.
The course consists of three parts. In the first part, asset
pricing theory is used to set up the pricing problem for
a wide range of instruments with features such as early
exercise, jumps, and path dependencies. The second part
focuses on simulation methods for pricing both European
and early exercise derivatives. The third part shows how
to effectively use advanced finite difference techniques
for solving a wide array of pricing problems.
