Computational Finance

The course aims at introducing the basic option pricing theory and various commonly used computational methods for option pricing in practice. The students will also get the training of implementing self derived algorithms and identifying hidden bugs using a structured approach. Two guest lectures from the banking industry are scheduled. There will also be two "programming in class" sessions, guided by the guests.

The final grade of the course consists of the following components:

- two sets of exercises, which together count for 10% of the final score.

- two programming assignments, which together count for 40% of the final score.

- One final, oral exam taking place at the end of the course, which accounts for 50% of the final score.

Final grade calculation: (0.1 * exercises) + (0.4 * programming exercises) + (0.5 * oral exam)

Resit/ Repair opportunities:

In case of an insufficient result, repair opportunities may be offered in accordance with TER Implementation Regulations Art 5, sub 5., for:

- exercises: resubmit 1 set of exercises if the grade of the 2 sets is insufficient

- programming assignments: resit of the same format and on the same contents

- oral exam: oral resit

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