401-8905-00L  Financial Engineering (University of Zurich)

SemesterAutumn Semester 2016
LecturersUniversity lecturers
Periodicityyearly recurring course
Language of instructionEnglish
CommentNo enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH.
UZH Module Code: MFOEC103

Mind the enrolment deadlines at UZH:
http://www.uzh.ch/studies/application/mobilitaet_en.html


AbstractThis lecture is intended for students who would like to learn more on equity derivatives modelling and pricing.
ObjectiveQuantitative models for European option pricing (including stochastic
volatility and jump models), volatility and variance derivatives,
American and exotic options.
ContentAfter introducing fundamental
concepts of mathematical finance including no-arbitrage, portfolio
replication and risk-neutral measure, we will present the main models
that can be used for pricing and hedging European options e.g. Black-
Scholes model, stochastic and jump-diffusion models, and highlight their
assumptions and limitations. We will cover several types of derivatives
such as European and American options, Barrier options and Variance-
Swaps. Basic knowledge in probability theory and stochastic calculus is
required. Besides attending class, we strongly encourage students to
stay informed on financial matters, especially by reading daily
financial newspapers such as the Financial Times or the Wall Street
Journal.
Lecture notesScript.
Prerequisites / NoticeBasic knowledge of probability theory and stochastic calculus.
Asset Pricing.