Instructor |
Dr. J.R. Zhang
|
Teaching assistant |
Mr. Xiaobin Zhao
|
Syllabus |
This course introduces the major computation problems in the field of
financial derivatives and various computational methods/techniques for
solving these problems. The lectures start with a short introduction on
various financial derivative products, and then move to the derivation of
the mathematical models employed in the valuation of these products, and
finally come to the solving techniques for the models. |
Introduction by Instructor |
The financial industry heavily depends on advanced computing technologies
and mathematical modeling techniques, and is a major employer of computer
science graduates in Hong Kong. In this course, we will present the primary
techniques in computational finance. In particular, we will focus on the
systematic way to determine how much a financial option is worth. We will
first briefly introduce what an option is, then the mathematical models for
options. The major part of the course will be focused on the solving
techniques for the mathematical models.
|
Learning Outcomes |
|
Pre-requisites |
No prior finance knowledge is required.
Students are assumed to have basic competence in calculus and probability
(up to the level of knowing the concepts of random variables, normal
distributions, etc.). Knowledge in at least one programming language is
required for the assignments/final project. |
Compatibility |
Nil |
Topics covered |
|
Assessment |
|
Course materials |
Prescribed textbook:
- An introduction to financial option valuation by Desmond
J. Higham
Recommended readings:
- Options, Futures, and other derivatives by John C. Hull
|
Session dates |
|
Add/drop |
15 January, 2018 - 28 January, 2018 |
Quota |
100 |