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| TPPE80 | Financial Valuation Methodology, 6 p (sw) /Finansiell värderingsmetodik/ Advancement level: D | |
| 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.Prerequisites: TPPE 05 Capital Budgeting and Financial Markets, TPPE 63 Corporate FinanceSupplementary courses: TPPE 81 Financial Risk ManagementCourse organization: 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.Course content: 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. Course literature: Hull, J.C., Options, Futures, and Other Derivaties, Prentice Hall. Supplementary texts will be announced later.Assessment: | ||
| The final grade is based on an oral exam and an assessment of seminar assignments. | ||
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