Computational Finance: Pricing and Valuation

5 credits

Course, Master's level, 1TD186

Autumn 2023 Autumn 2023, Uppsala, 33%, On-campus, English

Autumn 2023 Autumn 2023, Uppsala, 33%, On-campus, English For exchange students

Autumn 2024 Autumn 2024, Uppsala, 33%, On-campus, English

Autumn 2024 Autumn 2024, Uppsala, 33%, On-campus, English For exchange students

About the course

The use of complicated mathematical models has increased substantially in the discipline of financial economics. Through the use of models, one can study and simulate financial markets, e.g. the value of options, stocks and other security papers. To do so, computers and numerical methods are used. This course covers the numerical methods that are used within financial mathematics, specifically methods for the valuation of options, stocks and other security papers.

The content covers both the use of commercial software as well as studies of the computational methods and their properties. Methods covered are i.e. Monte Carlo methods and methods based on so-called finite differences. The methods are general-purpose methods, even though they are used for financial mathematics here. Thus, what you learn in the course can be used not only in the financial area but in other areas as well.

The course is examined through mini projects with oral and written presentations.

The course is closely related to 1TD186 Computational Finance - Calibration and Estimation, but the courses can be taken in any order.

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