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.

Two exams: mid term and end term. The first exam is on the first half of the book. The second exam is on the second half of the book. You have to pass both tests. If not, there will be a resit on the entire book after the third quarter.

Disclaimer: information may change depending on unforeseen circumstances or measures (see: TER Art 29, sub 4).

In case of insufficient results a repair option may exist in accordance with Article 2, Examination requirements, Clause 4, of the Implementation Regulations 2024-2025.