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Be English-friendly or any other language-friendly means that UC is taught in a language but can either of the
following conditions:
1. There are support materials in English / other language;
2. There are exercises, tests and exams in English / other language;
3. There is a possibility to present written or oral work in English / other language.
1
7.0
0.0 h/sem
30.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
30.0 h/sem
166.0 h/sem
0.0 h/sem
196.0 h/sem
Since year
2017/2018
Pre-requisites
Stochastic Calculus
Objectives
The course is devoted to the pricing of exotic options and structured products under the usual Merton (1973) model. Special attention is devoted to the analysis of path-dependent options.
Program
1. Basic concepts 2. Structured products 3. Merton?s model: recap 4. Compound options 4.1. Bivariate normal 4.2. Pricing of European options 5. Chooser options: simple and complex 6. Barrier options 6.1. Reflection principle 6.2. Deterministic time change 6.3. Knock-ins e knock-outs 6.4. Rebates 7. Lookback options 8. Asian options 9. Forward-start options 10. Correlation dependent options
Evaluation Method
Regular grading system: - One individual exam (90%) - Individual assessment cases, attendance and active participation (10%)
Students that fail or want to improve their grade in the regular grading system have one additional moment to pass: a re-sit exam, that is worth 100% of the final grade.
In any of the evaluation systems (regular or re-sit exam) it is considered that a student has course approval if he has a grade equal or above 9.5 points.
Teaching Method
The student should acquire analytical, information gathering, written and oral communication skills, through the following learning methodologies (LM): 1. Expositional, to the presentation of the theoretical reference frames 2. Participative, with analysis and resolution of application exercises 3. Active, with the realization of individual works 4. Self-study, related with autonomous work by the student, as is contemplated in the Class Planning.
Observations
None
Basic Bibliographic
- Textos de Apoio teórico/práticos a facultar pela equipa docente durante o trimestre; - Artigos científicos a facultar pela equipa docente durante o trimestre.
Complementar Bibliographic
Briys, E., M. Bellalah, H. M. Mai and F. De Varenne, Options, Futures, and Exotic Derivatives, Wiley, 1998. Hull, John C., Options, Futures, and Other Derivative Securities, Prentice Hall, 10th edition, 2017. Zhang, P., Exotic Options: A Guide to Second Generation Options, World Scientific, 1998, 2nd edition.
