Computational Finance: Pricing and Valuation
Course, Master's level, 1TD186
Autumn 2023 Autumn 2023, Uppsala, 33%, On-campus, English
- Location
- Uppsala
- Pace of study
- 33%
- Teaching form
- On-campus
- Instructional time
- Daytime
- Study period
- 28 August 2023–30 October 2023
- Language of instruction
- English
- 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.
- Selection
-
Higher education credits in science and engineering (maximum 240 credits)
- 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 and tuition fees.
- Application fee: SEK 900
- First tuition fee instalment: SEK 12,083
- Total tuition fee: SEK 12,083
- Application deadline
- 17 April 2023
- Application code
- UU-12010
Admitted or on the waiting list?
- Registration period
- 28 July 2023–4 September 2023
- Information on registration.
Autumn 2023 Autumn 2023, Uppsala, 33%, On-campus, English For exchange students
- Location
- Uppsala
- Pace of study
- 33%
- Teaching form
- On-campus
- Instructional time
- Daytime
- Study period
- 28 August 2023–30 October 2023
- Language of instruction
- English
- 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.
Admitted or on the waiting list?
- Registration period
- 28 July 2023–4 September 2023
- Information on registration.
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.