Option Valuation Methods

In this course, we discuss the modelling of financial derivatives, like financial options, on the basis of a standard financial model. We focus on the numerical treatment

for pricing these financial options. A number of different options are being discussed, like European, American and exotic options.

In the first quarter (roughly: Chapters 1-12) the emphasis is on theory. In the second quarter (roughly: Chapter 13-24) the emphasis is on numerical methods.

Part of the book consists of Monte Carlo methods, which will be covered in a separate course.