FIN-503 / 4 crédits

Enseignant: Perazzi Elena

Langue: Anglais

Remark: MA3 only


Summary

The course covers a wide range of advanced topics in derivatives pricing

Content

Keywords

Derivatives, volatility, numerical methods

Learning Prerequisites

Required courses

  • Derivatives
  • Introduction to finance
  • Investments
  • Stochastic calculus

Learning Outcomes

By the end of the course, the student must be able to:

  • Describe properties of asset returns and implied volatility surfaces
  • Compare and contrast different methods for modeling implied volatility surfaces including local volatility and stochastic volatility
  • Price any European-style option using the implied distribution.
  • Design efficient simulation schemes for pricing options with path-dependent payoffs and early exercise features
  • Implement simple finite difference schemes
  • Explain the decomposition of structured products into their underlying option components; understand the model risk associated with pricing and hedging exotic derivatives and structured product.
  • Demonstrate the model-independent pricing of variance swaps; explain empirical results about volatility risk premiums
  • Understand the properties of term structure models and be able to price interest-rate derivatives.

Transversal skills

  • Assess one's own level of skill acquisition, and plan their on-going learning goals.
  • Take feedback (critique) and respond in an appropriate manner.

Teaching methods

Lectures and exercises

Assessment methods

40% combined weight on assignments given during the course

60% final exam - closed-book

Supervision

Office hours Yes
Assistants Yes
Forum Yes

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

The main textbook for the course is
Jim Gatheral, The Volatility Surface, Wiley, 2006.

 

In addition, a number of journal articles will be used.

Ressources en bibliothèque

Moodle Link

Dans les plans d'études

  • Semestre: Automne
  • Forme de l'examen: Ecrit (session d'hiver)
  • Matière examinée: Advanced derivatives
  • Cours: 2 Heure(s) hebdo x 14 semaines
  • Exercices: 1 Heure(s) hebdo x 14 semaines
  • Semestre: Automne
  • Forme de l'examen: Ecrit (session d'hiver)
  • Matière examinée: Advanced derivatives
  • Cours: 2 Heure(s) hebdo x 14 semaines
  • Exercices: 1 Heure(s) hebdo x 14 semaines
  • Semestre: Automne
  • Forme de l'examen: Ecrit (session d'hiver)
  • Matière examinée: Advanced derivatives
  • Cours: 2 Heure(s) hebdo x 14 semaines
  • Exercices: 1 Heure(s) hebdo x 14 semaines

Semaine de référence

 LuMaMeJeVe
8-9     
9-10     
10-11     
11-12     
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22