| TPPE53 | Financial Valuation Methodology, 6 ECTS credits. /Finansiell värderingsmetodik/ |
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Prel. scheduled
hours: 46 |
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Area of Education: Technology Main field of studies: Industrial Engineering and Management |
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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) Corporate Finance, Financial Markets and Instruments 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: Financial Risk Management, Portfolio Management, Financial optimisation |
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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: Introduction to continuous stochastic processes. Option valuation in continuous time. Alternative option models and exotic options. Options on 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: | |||
| Written examination Assignments |
4 ECTS 2 ECTS |
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| The final grade is based on an oral exam and an assessment of seminar assignments. | |||
Course language is English. Department offering the course: IEI. Director of Studies: Martin Kylinger Examiner: Jörgen Blomvall Link to the course homepage at the department Course Syllabus in Swedish |
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