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MAFS5250_12_outline - MAFS5250 Computational Methods for...

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MAFS5250 – Computational Methods for Pricing Structured Products Course objective This course introduces the computational techniques in pricing of structured products. First we discuss the three common classes of numerical methods: lattice tree methods, finite difference methods, and Monte Carlo simulation methods. These computational techniques are then applied to pricing structured products that are commonly traded in the financial markets. The types of options and structured products include: lookback options, Asian options, accumulators, American options, participating life policies, convertible bonds, variance swap products, and interest rate derivatives. Instructor Professor Kwok Yue-Kuen, Office: Room 3445; Office phone: 2358-7418 E-mail: [email protected] Class hours and venue Tuesday, 19:30pm – 22:20pm; Room 3008 Textbooks/ references Yue Kuen KWOK, Mathematical Models of Financial Derivatives , second edition, Springer Verlag, 2008 (Chapter 6). Domingo TAVELLA and Curt RANDALL, Pricing Financial Instruments , John Wiley & Sons, Inc., 2000.
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