Quantitative Finance (FIA33201)

Overview

• Course Overview (PDF)

Textbooks & References

• Options, Futures, and Other Derivatives (John Hull)

• An Introduction to Financial Option Valuation (Desmond Higham)

• Stochastic Analysis for Finance with Simulation (Geon Ho Choe)

Computer Software

• MATLAB (visit Mathwork website for download with your UNIST account)

Subjects

• Introduction (PDF)

• Pricing of Forward and Futures (PDF)

• Option Pricing with Binomial Tree Model (PDF)

• Probability (PDF)

• Computer Simulation (PDF)

  • Matlab Guide for Beginner (PDF)

• Asset Movement Model (PDF)

• Black-Scholes Model (PDF)

• Option Pricing with Monte Carlo Method (PDF)

• Variance Reduction Methods for Monte Carlo Method (PDF)

• American Option Pricing with Binomial Tree (PDF)

• Option Pricing with Finite Difference Method