Advanced Financial Economics (Economic Analysis program)

Economic Analysis program course

Description

This course is devoted to valuation of linear and non-linear derivative instruments such as financial forwards, futures and options. The objective is to provide students with a thorough understanding of the arbitrage-free pricing theory for linear and non-linear derivatives and to equip them with fundamental mathematical and numerical tools. We will also discuss practical implementation of derivative pricing models and the use of derivatives in risk management and financial engineering. In addition, we will consider applications of option pricing methods to valuation of stocks, bonds and various investment projects (real options)