FE522 Part 1 Introduction


In this course our aim is an introduction to implementation of various methods and techniques involving pricing and hedging derivative securities. The course will be conducted in three parts:

  • Part 1: Statistical Analysis of Financial Data
  • Part 2: Monte Carlo Simulation (basically estimating a price or a hedge by sample paths )
  • Part 3: Binomial Method and Finite Difference Methods ( approximating numerical solution of Black-Sholes type equations )

As the computational tool of the course we will be using R.

2Basic Descriptive Statistics of Financial Data
3Statistical Analysis of Financial Data
4Monte Carlo Simulation : Basics
5Monte Carlo Simulation: Random Generation
6Monte Carlo Simulation: Variance Reduction Methods
7Monte Carlo Simulation: Two Examples
8Binomial and Trinomial Trees
9Finite Difference Method

Instructor: Refik Güllü, [email protected] 

Course Web page: http://moodle.boun.edu.tr/ 

The weekly course plan:

  • The lecture notes will be posted on the moodle page (moodle.boun.edu.tr).
  • Some classes are to be held online (will be announced)

Leave a Reply

Your email address will not be published. Required fields are marked *