Computational Finance: Pricing and Valuation, 5 credits
Academic year 2023/2024
Autumn 2023, 33%, Campus
Start date: 28 August 2023
End date: 30 October 2023
Application deadline: 17 April 2023
Application code: UU-12010 Application
Language of instruction: English
Selection: Higher education credits in science and engineering (maximum 240 credits)
Registration: 28 July 2023 – 4 September 2023
Entry requirements: 120 credits in science/engineering including one of the courses Scientific Computing II / Scientific Computing, Bridging Course / Introduction to Scientific Computing. Proficiency in English equivalent to the Swedish upper secondary course English 6.
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 12,083
Tuition fee, total: SEK 12,083
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, specifically methods for the valuation of options, stocks and other security papers.
The content covers both the 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 presentations.
The course is closely related to 1TD186 Computational Finance - Calibration and estimation, but the courses can be taken in any order.
Department of Information Technology
hus 10, Lägerhyddsvägen 1
Box 337, 751 05 UPPSALA