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Industry Supervisor

Ivashkovskaya, Irina

Manager

Belogurova, Ekaterina

Study Office

International Office
Oxana P. Budjko

Address:
11 Pokrovsky Bulvar
Moscow, Russia, 109028

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Delivered at:: School of Finance

Course type:: Elective course

When:: 2 year, 2 module

Instructor

Dergunov, Ilya

Abstract

The theoretical part of the course will refresh our knowledge of the basics of binomial model, stochastic calculus, Black-Scholes model and Heston stochastic volatility model. Then course will proceed to introduce the basics of the Monte Carlo simulation technique as well as main methods for efficient numerical valuation of derivative contracts in a Black-Scholes world and implementation of various pricing methods, for instance, in Julia or Python programming languages (e.g simulation of the stochastic differential equations; finite-difference-based methods for the solution of the partial differential equations; calculation of greeks, implied volatility and etc.).

Master’s Programme 'Strategic Corporate Finance'

Quantitative Finance

Instructor

Course Syllabus

Abstract