Advanced
Methods in Finance
Wrocław,
21-22.11.2003
Plan zajęć / Course
outline
Wykładowcy / Lecturers
Ying Chen
(Berlin), Wolfgang
Haerdle (Berlin)
(Lectures and discussion classes will be held in English)
Ze względu na ograniczoną liczbę miejsc w laboratorium komputerowym osoby zainteresowane proszone są o zarejestrowanie się poprzez wysłanie emaila - zawierającego imię i nazwisko, stanowisko oraz firmę/uczelnię - do Rafała Werona (rweron@im.pwr.wroc.pl)
FRIDAY, 21 NOV. 2003, building C11, room 5.05 (lecture room) |
|
| 17:00-18:30 | Introduction
to XploRe Web based computing; Quantlets Black-Scholes Option Pricing Model (login: sfe, pass: student) The Stock Price as a Stochastic Process; Black-Scholes Differential Equation; Black-Scholes Formulae for European Options; Risk Management and Hedging; Delta Hedging; Greeks; Historical and Implied Volatility |
SATURDAY, 22 NOV. 2003, building C11, room 4.04 (computer lab) |
|
| 09:00-10:30 | Working
with XploRe Libraries; e-books The Analysis of Implied Volatilities The Implied Volatility Surface; Dynamic Analysis |
| 11:00-12:30 | How
Precise Are Price Distributions Predicted by IBT? Implied Binomial Trees; A Simulation and a Comparison of the SPDs; Example - Analysis of DAX data American Options (login: sfe, pass: student) Arbitrage Relations for American Options; Trinomial Processes; The Trinomial Model for American Options |
| 13:30-15:00 | Exotic
Options (login: sfe, pass: student) Examples of Exotic Options; Compound Options, Options on Options; Chooser Options or "As You Like It" Options; Barrier Options; Asian Options; Lookback Options |
Last modified on 2003-11-12.