| TPPE53 |
Financial Valuation Methodology, 6 ECTS credits.
/Finansiell värderingsmetodik/
For:
I
Ii
MMAT
Y
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Prel. scheduled
hours: 24
Rec. self-study hours: 136
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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 be able to derive the Black-Scholes-Merton partial differential equation and to price exotic options using numerical techniques. Another objective is to provide insights into yield-curve modeling, specifically short rate models and the Heath-Jarrow-Morton framework.
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Prerequisites: (valid for students admitted to programmes within which the course is offered)
Corporate Finance, Financial Markets and Instruments, Financial Risk Management
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:
Portfolio Management, Financial optimization
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Organisation:
The teaching is organized in lectures, seminars and problem sessions. The seminars will be used for presentations and discussions of the group assignments. The problem sessions aim to support the students in the learning of the course material.
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Course contents:
Introduction to continuous stochastic processes and stochastic calculus. Option valuation in continuous time. Black-Sholes and alternative option models. Exotic options. Change of probability measure. Risk neutral valuation. Numerical methods for valuing derivatives. Models of the term structure of interest rates and valuation of interest rate derivatives.
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Course literature:
Hull, J.C., Options, Futures, and Other Derivaties, Prentice Hall.
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Examination: |
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Written examination
Assignments
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4 ECTS
2 ECTS
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Course language is Swedish.
Department offering the course: IEI.
Director of Studies: Fredrik Persson
Examiner: Jonas Ekblom
Link to the course homepage at the department
Course Syllabus in Swedish
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