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Derivatives Valuation - ECFS881
This unit deals with important quantitative issues for derivatives market practitioners. The aim is to extend the student's understanding of derivatives valuation. This unit looks at key numerical techniques and applies them to value exotic, GARCH and interest rate options in cases where classical Black-Scholes assumptions are inappropriate. Teaching uses both lectures and hands-on sessions with computer software. This unit complements ECFS882, which gives comprehensive treatment of exotic options in a Black-Scholes setting.
| Credit Points: | 2 |
| When Offered: | AFC Term 2 CBD - Applied Finance Centre, City Campus, March to June |
| Staff Contact(s): | Associate Professor Robert Trevor |
| Prerequisites: |
(Admission to MAppFin or PGCertAppFin or GradDipAppFin) and ECFS867 |
| Corequisites: | |
| NCCW(s): | |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
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