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 Cursus: 202000412
 202000412Option Pricing
 Cursus informatie
Cursus202000412
Studiepunten (ECTS)2,5
CursustypeOnderwijseenheid
VoertaalEngels
Contactpersoondr. P.K. Mandal
E-mailp.k.mandal@utwente.nl
Docenten
 Contactpersoon van de cursus dr. P.K. Mandal Docent dr. P.K. Mandal Docent dr. B. Roorda Examinator dr. B. Roorda
Collegejaar2023
Aanvangsblok
 1A
AanmeldingsprocedureZelf aanmelden via OSIRIS Student
Inschrijven via OSIRISJa
 Cursusdoelen
 body { font-size: 9pt; font-family: Arial } table { font-size: 9pt; font-family: Arial } After successfully finishing this course, the student is able to: Explain various types of derivative products, in particular, European and American Call and Put Options; Recognize and create new financial products by combining various standard financial/derivative products;   Identify the influence of different economic factors on option prices; Calculate the (numerical) price of an Option using a binomial tree (option-delta and risk-neutral method).
 Inhoud
 body { font-size: 9pt; font-family: Arial } table { font-size: 9pt; font-family: Arial } This course is a part of Module “Finance for Engineers” (202000410). In this course, derivative products, such as options, and futures are introduced.  You will learn how they are used in financial decision-making. The focus of the course is the pricing/valuation of such derivative products, in particular different types of options.  The general techniques such as no-arbitrage pricing theory and risk-neutral pricing theory will be explained.  As applications of these, Binomial trees will be used in conjunction with the Option-delta method as well as discounted risk-neutral expectation to determine the price of European and American -- call and put -- options. Along the way, you will also learn the influence of different economic factors on option prices.
 Assessment
 body { font-size: 9pt; font-family: Arial } table { font-size: 9pt; font-family: Arial } Written exam (Option Pricing part of the combined test) (100%)
Voorkennis
 Basics of statistics and probability, incl. expectation/mean, variance, correlation, standard deviation.
 Participating study
 Bachelor Technische Bedrijfskunde
 Participating study
 Bachelor Bedrijfsinformatietechnologie
 Module
 Module 5
Verplicht materiaal
Book
 As for Accounting and Finance, two chapters on Option Pricing.
Book
 Brealey Myers Allen, Principles of Corporate Finance (14e international edition) Recommend to buy in combination with Connect; Use of 13th edition still possible.
Aanbevolen materiaal
-
Werkvormen
Hoorcollege
 Aanwezigheidsplicht Ja

Werkcollege
 Aanwezigheidsplicht Ja

Toetsen
 Test Option Pricing
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