Modulets indhold, forløb og pædagogik

Læringsmål

Viden

• know about quantitative software development with a focus on computational finance
• know about core models & products: stochastic volatility models, vanilla & exotic derivatives
• know about numerical treatment of stochastic differential equations (SDEs) and partial differential equations (PDEs)
• know about Monte Carlo foundations and applications
• know about Fourier transform pricing
• calibration (applied numerical optimization, market data)

Færdigheder

• are able to analyse a given model and apply it on market data
• are able to develop quantitative software in line with the existing practices in the financial industry
• are able to perform all stages of the verification and validation (V&V) process in quantitative software development – assessing the results obtained from a financial model

Kompetencer

• are able to independently develop, analyse, and apply quantitative finance models relevant to a financial problem at hand
• are able to communicate the results of applying the models appropriate to a given financial problem to non-specialists in the financial industry
• discuss relative strengths and weaknesses of numerical methods (SDEs, PDEs, Fourier Transform) in relation to financial products (derivatives) and tasks (pricing, hedging, calibration)

Undervisningsform

Forelæsninger med tilhørende opgaveregning.

Omfang og forventet arbejdsindsats

Kursusmodulets omfang er 5 ECTS svarende til 150 timers studieindsats.

Eksamen

Prøver