Computational Finance

To be published June 2017 0 lectures released 2 lectures in production
Prof. Christian Oliver Ewald
Glasgow University, UK
Summary

This will be a series of talks leading from the vary basics of understanding what derivatives are to the more advanced topics of how to price them under different degrees of realism and complexity and how to make optimal investment decisions in a range of applications. The prominent feature of... read morethis series is a hands on approach and emphasis on intuition, rather than full mathematical rigour, which will suit students from Business Schools as well as practitioners with diverse backgrounds. The series starts with a general introduction into the concept of financial derivatives and starting from there discusses simple but effective pricing methodologies such as the Binomial Asset pricing Model, more general discrete time market models leading up to the Black Scholes model and going beyond this including local and stochastic volatility models, term structure models as well as multifactor models typically used for pricing commodity derivatives. Further attention is given to the problem of making optimal investment decisions. The series develops both theory and computational tools, where the latter focuses on Monte Carlo simulation in particular.