Autumn Semester 2020 takes place in a mixed form of online and classroom teaching.
Please read the published information on the individual courses carefully.

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



Catalogue data

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.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4.5 credits
Examiners
Typegraded semester performance
Language of examinationEnglish
RepetitionRepetition only possible after re-enrolling for the course unit.
Additional information on mode of examinationRegistration modalities, date and venue of this performance assessment are specified solely by the UZH.

Learning materials

No public learning materials available.
Only public learning materials are listed.

Courses

NumberTitleHoursLecturers
401-8905-00 GFinancial Engineering (University of Zurich)
**Course at Uni Zurich**
3 hrs
Thu10-13UNI ZH .
University lecturers

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Mathematics MasterFinanceWInformation
Computational Science and Engineering MasterComputational FinanceWInformation