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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
6.0
0.0 h/sem
30.0 h/sem
10.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
40.0 h/sem
128.0 h/sem
0.0 h/sem
168.0 h/sem
Since year
2012/2013
Pre-requisites
No
Objectives
This course gives basic knowledge in numerical methods used commonly used in the pricing of derivative products.
Program
I. Basic numerical analysis Interpolation Numerical Derivation and integration Linear systems Euler method for EDO II. Finite differences for parabolic equations Explicit and implicit methods (1+1D) Stability and convergence (1+1D) Pricing of European options using finite differences. ADI method (1+2D) Pricing of American Options using finite differences (1+1D) III. Monte Carlo method Simulation of stochastic variables Stochastic differential equations
Evaluation Method
Regular grading system: - One written exam with a worth of 100
Students that fail or want to improve their grade in the regular grading system have one additional moment to pass: a re-sit exam, which 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
Basic Bibliographic
Atkinson, K. ; Han, W. - Elementary Numerical Analysis, Wiley, 3rd ed. (2004)
Brandimarte, P. - Numerical Methods in Finance and Economics, Wiley, 2nd ed. (2006)
Higham, D.J. - An Introduction to Financial Option Valuation, Cambridge (2004)
