ECTS : 3
Language of instruction : French
Teaching hours : 24
Course content:
Class focuses on the pricing of exotic options and equity derivatives structured products with complex pay-offs. It is divided into 6 sessions of three hours each. Class alternates the teaching of the theory and practical applications. Monte- Carlo simulations are performed using Microsoft Excel. Local and stochastic volatility concepts are introduced, then applied practically. Impact of hedging techniques for such instruments are discussed. At the end, students are capable of building from scratch, pricing models for any complex equity derivative instrument.
Skills to be acquired:
The class aims at giving students the fundamentals of quantitative pricing for complex Equity derivatives products.
Mandatory prerequisites
Probability Theory.
Recommended prerequisites
Common knowledge of probability theory. Ability to complete Python programing
Assessment:
The exam consists of a final project where each student has to perform the pricing of a specific equity derivative instrument using Monte-Carlo simulation. Attendance to the course, is taken into account for final grading.
Weighting : 1.00
Bibliography, recommended reading:
Quantitative Finance- Paul Willmott-WILEY