Quantitative Finance

2023/2024

Учебный год

ENG

Обучение ведется на английском языке

3

Кредиты

Кто читает:

Школа финансов

Статус:

Курс по выбору

Когда читается:

2-й курс, 2 модуль

Преподаватель

Дергунов Илья Евгеньевич

Course Syllabus

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.).