401-8905-00L Financial Engineering (University of Zurich)
| Semester | Autumn Semester 2018 |
| Lecturers | University lecturers |
| Periodicity | yearly recurring course |
| Language of instruction | English |
| Comment | No enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH. UZH Module Code: MFOEC200 Mind the enrolment deadlines at UZH: https://www.uzh.ch/cmsssl/en/studies/application/mobilitaet.html |
Courses
| Number | Title | Hours | Lecturers | |||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 401-8905-00 G | Financial Engineering (University of Zurich) **Course at University of Zurich** | 4 hrs |
| University lecturers |
Catalogue data
| Abstract | This lecture is intended for students who would like to learn more on equity derivatives modelling and pricing. |
| Objective | Quantitative models for European option pricing (including stochastic volatility and jump models), volatility and variance derivatives, American and exotic options. |
| Content | After 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 notes | Script. |
| Prerequisites / Notice | Basic 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 credits | 6 credits |
| Examiners | |
| Type | graded semester performance |
| Language of examination | English |
| Repetition | Repetition only possible after re-enrolling for the course unit. |
| Additional information on mode of examination | Registration 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. |
Groups
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |
Offered in
| Programme | Section | Type | |
|---|---|---|---|
| Data Science Master | Interdisciplinary Electives | W |  |
| Mathematics Master | Finance | W | |
| Computational Science and Engineering Master | Computational Finance | W | |