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21996-01 - Vorlesung: Quantitative Security Analysis (3 KP)
| Semester | Frühjahrsemester 2012 |
| Angebotsmuster | unregelmässig |
| Dozierende | Axel Kind (axel.kind@unibas.ch, BeurteilerIn) |
| Inhalt | Summary: The course Quantitative Security Analysis is an intermediate course on the numerical valuation of a wide range of securities, such as common stocks, junior and senior bonds, convertible bonds, plain-vanilla options, American/Bermudan options, exotic options, European swaptions, American/Bermudan swaptions, and employee stock options. The course focuses on the valuation via tree-based methods and Monte Carlo simulation of the option component embedded in all of the above mentioned instruments. The course specifically discusses implementation issues in MATLAB. The expected structure of the course is as follows: Section 1: Introduction to the course Section 2: Introduction to MATLAB Section 3: Tree-based valuation (European, American, and exotic options) Section 4: Tree-based valuation in higher dimensions Section 5: Foundations of Monte Carlo simulation Section 6: Monte Carlo simulation and American options Section 7: Valuation of interest-rate derivatives |
| Lernziele | Learning goals: Students will learn how to value a wide range of financial instruments by using tree-based methods and simulation approaches. Depending on the characteristics of the instrument to be valued, students will be able to recognize which of the techniques is best suitable for the pricing task. Due to the implementation focus of the course, students will also learn how to implement the pricing routines in MATLAB. |
| Literatur | Reading list: The course is based on academic papers and on selected chapters from the following books: - "Options, Futures, and Other Derivatives" by John Hull, Prentice Hall, last edition. - "Monte Carlo Methods in Financial Engineering" by Paul Glasserman, Springer, 2003. - "Derivatives Pricing" by Domingo Tavella, Wiley, 2002. - "Finanzderivate mit MATLAB" by Michael Günther and Ansgar Jüngel, Vieweg, 2003. Journal articles will be made available to students on the course webpage, the link to which can be found at the following address: http://www.wwz.unibas.ch/ds/abt/corporate-finance/lehre/abteilung/cofi/ |
| Bemerkungen | As the course only starts on 6th March, there will be an additional lecture on 13th March to catch up. |
| Weblink | Weblink |
| Teilnahmevoraussetzungen | Prerequisites: Completed Bachelor in Business und Economics. |
| Anmeldung zur Lehrveranstaltung | Registration: Please enrol in MOnA. EUCOR-Students and Exchange-Students have to enrol at the students administration office (studsek@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam! |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| Intervall | Wochentag | Zeit | Raum |
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Keine Einzeltermine verfügbar, bitte informieren Sie sich direkt bei den Dozierenden.
| Module |
Modul Wahlbereich (Master Wirtschaftswissenschaften) |
| Prüfung | Semesterendprüfung |
| Hinweise zur Prüfung | Depending on the number of participants there will be either a final exam or a written paper. It will be decided in the first lecture. |
| An-/Abmeldung zur Prüfung | Anmeldung: Belegen |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Belegen bei Nichtbestehen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Abteilung Corporate Finance |