This unit deals with important quantitative issues for derivatives market practitioners. The aim is to extend the student's understanding of derivatives valuation. This unit looks at key numerical techniques and applies them to value exotic, GARCH and interest rate options in cases where classical Black-Scholes assumptions are inappropriate. Teaching uses both lectures and hands-on sessions with computer software. This unit complements ECFS882, which gives comprehensive treatment of exotic options in a Black-Scholes setting. -- Course Website
Instructor: Associate Professor Robert Trevor
Prerequisites: (Admission to MAppFin or PGCertAppFin) and (ECFS865 and ECFS867 and ECFS868 with SNG of 55 in all three units)
