Postgraduate Course: Asset Pricing (MATH11078)
Course Outline
School |
School of Mathematics |
College |
College of Science and Engineering |
Course type |
Standard |
Availability |
Available to all students |
Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
10 |
Home subject area |
Mathematics |
Other subject area |
Financial Mathematics |
Course website |
http://student.maths.ed.ac.uk |
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Course description |
Aims: To provide solid mathematical foundations for pricing derivative products in financial
markets, highlighting the points where the idealized and the realistic diverge.
Syllabus:
- Risk-neutral valuation of contingent claims. Pricing PDEs.
- Some important option types in the Black-Scholes setting. Parameter sensitivity (Greeks).
- Incomplete markets, pricing and hedging.
- The term structure of interest rates: short rate models (Vasicek, CIR) and the HJM framework.
- Pricing of credit derivatives. |
Entry Requirements
Pre-requisites |
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Co-requisites |
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Prohibited Combinations |
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Other requirements |
None
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Additional Costs |
None |
Course Delivery Information
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Delivery period: 2010/11 Semester 2, Not available to visiting students (SS1)
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WebCT enabled: No |
Quota: None |
Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
No Classes have been defined for this Course |
First Class |
First class information not currently available |
Summary of Intended Learning Outcomes
Familiarity with the fundamental tools of no-arbitrage pricing (Girsanov change of measure, martingale representation). Knowledge of most important option types (European, American, exotic). Familiarity with the PDE methodology for computing option prices. Understanding the essentials of short rate and forward rate models (i.e. HJM). Familiarity with the basic credit derivatives and with the problems in their pricing (default sensitivity). |
Assessment Information
100% examination |
Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
Not entered |
Contacts
Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Katherine Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
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copyright 2010 The University of Edinburgh -
1 September 2010 6:19 am
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