| Class |
Date |
Topic |
| 1 |
1/26 |
- Course
overview
- Programming
languages/environments (C/C++, Java, Mathematica, MATLAB, Excel, SciFinance)
- Evaluation
criteria and performance measures
- Analytical
computation of option price derivatives (Greeks)
|
| Formulas
and Approximations |
| 2 |
2/2 |
- Fourier
transform methods for option pricing
- Black-Scholes
and related formulas
- Integration
and root-finding
- Finite difference
approximations to derivatives
- Richardson
extrapolation
|
|
Lattices
and Finite Difference Methods
|
| 3 |
2/9 |
- Creating
Excel add-ins
- Lattice
methods
- Implementing
the binomial lattice method in C
- Lattice
error analysis and convergence properties
|
| 4 |
2/16 |
- Improved
lattice algorithms
- Lattice
approaches to option pricing in jump-diffusion models
- Amin's
algorithm
- Fast
Gauss transform
|
| 5 |
2/23 |
- Pricing
path-dependent options
- non-recombining
lattice
- state
variable approach
- change
of numeraire
- Finite difference
methods
|
| 6 |
3/1 |
- Asian options
- Multi-asset
options
|
| Spring
Break: no class on March 8 |
| Simulation
Methods |
| 7 |
3/15 |
- Variance
reduction methods
- antithetics
- control
variates
- stratified
sampling
- latin
hypercube sampling
- importance
sampling
|
| 8 |
3/22 |
- Low discrepancy
methods
- Brownian
bridge construction
|
| 9 |
3/29 |
- Estimating
Greeks via simulation
- Pricing
American options via simulation - I
|
| 10 |
4/5 |
- Pricing
American options via simulation - II
- Euler and
exact simulation methods
|
| 11 |
Friday,
4/16 |
- Alan Brace,
Paribas, will speak on the BGM interest rate model
This talk will be on Friday, April 16 starting at 5:00 (room 306)
- Note: No
class on Monday, April 12
|
| 12 |
4/19 |
- Leif Andersen,
Bank of America Securities
|
| Project
presentations: Mornings of May 3, 4, 5 |
