Description:
The students learn the basic concepts of option pricing and its probabilistic foundations and stochastic processes in discrete time. Topics: Financial derivative, Option management, Basic concepts of probability theory, Stochastic processes in discrete time, Stochastic Integrals and differential equations, Black-Scholes option pricing model, Binomial model for European options and American options, Exotic options and interest rate derivatives. As a part of the course, an obligatory trip to the ECB European Central Bank will be organized.
Time & venue:
Mondays, 16:00-20:00 (starting on 21.10.2024)
Exam:
Oral exam
More information can be found on Moodle.
