Module 4: Exotic Options and Advanced Modelling Techniques

The next course will take place: Monday 17 - Friday 21 June 2019

Syllabus

    • The dual approach to optimal investment: application to portfolio selection under drift uncertainty (to include an introduction to linear filtering);
    • Stochastic optimization: dynamis programming, continuous time stochastic control, HJB equations, martingale optimality principle, verification theorems, Merton problem with terminal wealth and consumption;
    • Exotic options: down-and-out and other barrier contracts, relfection principle, Asians options, lookbacks , similarity reductions (change of numeraire);
    • SABR model, Markov approach to pricing with short rate models, practical risk management of vanilla fixed income derivatives;
    • Introduction to econometrics: AR(I)MA, (G)ARCH, model fitting, regression, back-testing; and
    • Practical Value at Risk

     

    For students enrolled on the course

    Course Materials - including student instructions, lecture notes, assignment and submission link