Computational Finance: Pricing and Valuation 2019/2020 (5 credits)

Autumn 19/20, 33 %, Campus

Start date: 2 September 2019

End date: 3 November 2019

Application Deadline: 15 April 2019

Enrolment Code: UU-12010 Application

Language of Instruction: English

Location: Uppsala

Selection: Higher education credits in science and engineering (maximum 240 credits)

Entry Requirements: Scientific Computing II, 5 credits, or Scientific Computing, Bridging Course, 5 credits. Financial Derivatives is recommended.
English language proficiency that corresponds to English studies at upper secondary (high school) level in Sweden ("English 6").

Fees:

If you are not a citizen of a European Union (EU) or European Economic Area (EEA) country, or Switzerland, you are required to pay application or tuition fees. Formal exchange students will be exempted from tuition fees, as well as the application fee. Read more about fees.

Application Fee: SEK 900

Tuition fee, first semester: SEK 12083

Tuition fee, total: SEK 12083

About the course:

The use of complicated mathematical models has increased substantially in the discipline of financial economics. Through the use of models one can study and simulate financial markets, e.g. the value of options, stocks and other security papers. To do so, computers and numerical methods are used. This course covers the numerical methods that are used within financial mathematics, and specifically methods for valuation of options, stocks and other security papers.

The content covers both use of commercial software as well as studies of the computational methods and their properties. Methods covered are i.e. Monte Carlo methods and methods based on so called finite differences. The methods are general purpose methods, even though they are used for financial mathematics here. Thus, what you learn in the course can be used not only in the financial area, but in other areas as well.

The course is examined through mini projects with oral and written presentation.

The course is closely related to 1TD186 Computational Finance - Calibration and estimation, but the courses can be taken in any order.

More information

Contact

Department of Information Technology

ITC, hus 1,2,4 Lägerhyddsv. 2

Box 337, 751 05 UPPSALA

Fax: 018-511925

E-mail: info@it.uu.se

Study Counsellor studievagledare@it.uu.se

Telephone: +46 18 471 31 54