11 - 15 June 2018
- 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
Assignment due: 12 noon UK time, 16 July 2018
The Module 4 assignment is available under Course Materials during, or shortly after, the week you are in Oxford. Although not a compulsory assignment, it is highly recommended that you do submit an assignment to give an indication of how you are progressing on the course, ready for the examinations. If you do not plan to submit the assignment then please let the Course Administrator know.
Keep a record of the submission ID for future reference. If you encounter any problems please contact the Course Administrator as soon as possible.
Please remember to put your candidate number, rather than your name, on the assignment. You can find your candidate number on the Student Self Service System.