|
| Udgave: |
Forår 2013 NAT |
| Point: |
7,5 |
| Blokstruktur: |
3. blok |
| Skemagruppe: |
A |
Semester: |
Forår |
| Varighed: |
9 uger |
| Institutter: |
Institut for matematiske Fag |
| Uddannelsesdel: |
Kandidat niveau |
| Kontaktpersoner: |
Rolf Poulsen, tlf. 35 32 06 85, rum 04.4.11, email: rolf@math.ku.dk |
| Skema- oplysninger: |
 Vis skema for kurset
Samlet oversigt over tid og sted for alle kurser inden for Lektionsplan for Det Naturvidenskabelige Fakultet Forår 2013 NAT |
| Undervisnings- periode: |
4. februar - 14 april 2013 |
| Undervisnings- form: |
Lectures and exercises |
| Indhold: |
For the first part, see “Expected competencies”. |
| Målbeskrivelse: |
The course consists of two parts. The first is same every year and is joint with Liv2; the specific scientific contents of the second part vary from year to year.
1st part: After the course, the student should be able to:
Handle extensions of the basic Black/Scholes framework to include dividends and non-traded quantities.
Conduct computational pricing and hedging experiments in diffusion models and present results.
Perform concrete calculations (zero-coupon bond pricing, estimation, calibration) in 1-dimensional affine short-rate models.
Use of change-of-numeraire techniques.
Price simple interest-rate options in Gaussian models.
2nd part: After the second part, the students should be able to read recent quantitative articles in finance journals (both broad academic journals such as Journal of Finance, technical journals such as Mathematical Finance or applied quantitative journals such as Journal of Derivatives). This requires both technical and tactical skills.
Technical skills: Topics vary from year to year. In 2013 the focus will be on stochastic interest rate modelling.
A closer look at the Heath-Jarrow-Morton framework. (Market models, Markov representation.)
Multi-dimensional affine term structure models ala Duffie & Kan (1995), Dai & Singleton (2000). (Maybe some unspanned stochastic volatility ala Collin-Dufresne & Goldstein 2002).)
Option pricing by transform methods. The model from Heston (1993) (which is “affine in a way”) will be the workhorse.
Interest modelling modelling after (or: during) the crisis. Multi-curve discounting (OIS, tenor structure), pricing with collateral (Piterbarg (2010)), credit value adjustment (CVA; from Cannabarro & Duffie (2003) to today.)
Tactical skills: Students can verify (or falsify) and extend the claims made in research articles. They learn several "plans of attack" this:
Fill in omitted details (technical, computational or logical).
Remove "cluttering technicalities"; give "consider the following" odd construction"-proofs.
See how an earlier seemingly very hard-to-prove result may come about as "non-trivial special cases" of subsequent results in the literature.
Verify numbers; falsify with numbers. Ask and answer questions experimentally. The main insight: You should typically not read a research article the same way you read a text-book (which is what students have mostly been doing for four or more years).
|
| Lærebøger: |
The text-book is Tomas Björk (2004) ”Arbitrage Theory in Continuous Time”, Oxford; chapters 15-26 will be used. (More precisely Chapters 16-17, 21-22, 20, 23, 24 and tiny bit of 25 --- in that order.) Articles and working papers (mostly mentioned above) will be used for the second part. |
| Tilmelding: |
Kursus- og eksamenstilmelding og afmelding sker på
www.kunet.dk
Tilmelding skal ske i perioden den 15. november – 1. december 2012.
|
| Faglige forudsætninger: |
Continuous-time Finance" (FinKont) or something similar. |
| Eksamensform: |
Evaluation during the course (2 or 3 hand-ins) with a grade on the 7-scale. Internal censorship.
Re-exam: 30 minutes oral exam. |
| Eksamen: |
Løbende evaluering.
Reeksamen: Mundtlig prøve d. 27. juni 2013. |
| Kursus hjemmeside: |
 |
| Undervisnings- sprog: |
Engelsk
|
| Sidst redigeret: |
30/10-2012 |