| TPPE80 | Financial Valuation Methodology, 9 ECTS credits. /Finansiell värderingsmetodik/ |
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Prel. scheduled
hours: 46 |
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Area of Education: Technology Subject area: Industrial Engineering and Management, Production Economics |
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| Advancement level
(G1, G2, A): A
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| Aim: The main aim of the course is to provide knowledge on an advanced level on financial valuation methodologies, mainly concerning contingent claims. After the course the student should also be aware of how valuation techniques for financial securities can be utilized in project appraisals and in financial engineering situations. Another objective is to provide insights in yield-curve modelling. |
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| Prerequisites: (valid for students admitted to programmes within which the course is offered) TPPE 05 Capital Budgeting and Financial Markets, TPPE 63 Corporate Finance Note: Admission requirements for non-programme students usually also include admission requirements for the programme and threshhold requirements for progression within the programme, or corresponding. |
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| Supplementary courses: TPPE 81 Financial Risk Management |
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| Organisation: The main pedagogical vehicle will be a series of seminars with learning goals and a number of small group assignments. The number of traditional lectures will be quite small. |
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| Course contents: Binomial option valuation. Introduction to continuous stochastic processes. Option valuation in continuous time. Alternative option models and exotic options. Options futures and currencies. Numerical methods for PDE:s and Monte Carlo simulation. Models of the term structure of interest rates. Interest rate derivatives. |
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| Course literature: Hull, J.C., Options, Futures, and Other Derivaties, Prentice Hall. Supplementary texts will be announced later. |
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| Examination: | ||||
| Seminar and project assignment with written and oral presentation. Oral examination. |
6 p |
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9 ECTS |
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| The final grade is based on an oral exam and an assessment of seminar assignments. | ||||
Course language is Swedish. Department offering the course: IPE. Director of Studies: Martin Kylinger Examiner: Peter Hultman Link to the course homepage at the department Course Syllabus in Swedish |
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