401-8908-00L Continuous Time Quantitative Finance (University of Zurich)
Semester | Spring Semester 2021 |
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: MFOEC204 Mind the enrolment deadlines at UZH: Link |
Courses
Number | Title | Hours | Lecturers | ||||
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401-8908-00 V | Continuous Time Quantitative Finance (University of Zurich) **Course at University of Zurich** | 3 hrs |
| University lecturers |
Catalogue data
Abstract | American Options, Stochastic Volatility, Lévy Processes and Option Pricing, Exotic Options, Transaction Costs and Real Options. |
Objective | The course focuses on the theoretical foundations of modern derivative pricing. It aims at deriving and explaining important option pricing models by relying on some mathematical tools of continuous time finance. A particular focus on jump processes is given. The introduction of possible financial crashes is now essential in some models and a clear understanding of Poisson processes is therefore important. A standard background in stochastic calculus is required. |
Content | Stochastic volatility models Itô's formula and Girsanov theorem for jump-diffusion processes The pricing of options in presence of possible discontinuities Exotic options Transaction costs |
Lecture notes | See: Link |
Literature | See: Link |
Prerequisites / Notice | This course replaces "Continuous Time Quantitative Finance" (MFOEC108), which will be discontinued. Students who have taken "Continuous Time Quantitative Finance" (MFOEC108) in the past, are not allowed to book this course "Continuous Time Quantitative Finance" (MFOEC204). |
Performance assessment
Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
ECTS credits | 3 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. |