**Are you an EPFL student looking for a semester project?**

Work with us on data science and visualisation projects, and deploy your project as an app on top of GraphSearch.

Course# FIN-503: Advanced derivatives

Summary

The course covers a wide range of advanced topics in derivatives pricing

Moodle Page

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Related MOOCs (5)

Related courses (8)

Related concepts (58)

Interest Rate Models

This course gives you an easy introduction to interest rates and related contracts. These include the LIBOR, bonds, forward rate agreements, swaps, interest rate futures, caps, floors, and swaptions.

Introduction to Geographic Information Systems (part 1)

Organisé en deux parties, ce cours présente les bases théoriques et pratiques des systèmes d’information géographique, ne nécessitant pas de connaissances préalables en informatique. En suivant cette

Introduction to Geographic Information Systems (part 1)

Organisé en deux parties, ce cours présente les bases théoriques et pratiques des systèmes d’information géographique, ne nécessitant pas de connaissances préalables en informatique. En suivant cette

FIN-404: Derivatives

The objective of this course is to provide a detailed coverage of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contract

MGT-482: Principles of finance

The course provides a market-oriented framework for analyzing the major financial decisions made by firms. It provides an introduction to valuation techniques, investment decisions, asset valuation, f

MATH-470: Martingales in financial mathematics

The aim of the course is to apply the theory of martingales in the context of mathematical finance. The course provides a detailed study of the mathematical ideas that are used in modern financial mat

MGT-301: Foundations in financial economics

The aim of this course is to expose EPFL bachelor students to some of the main areas in financial economics. The course will be organized around six themes. Students will obtain both practical insight

FIN-401: Introduction to finance

The course provides a market-oriented framework for analyzing the major financial decisions made by firms. It provides an introduction to valuation techniques, investment decisions, asset valuation, f

In finance, a volatility swap is a forward contract on the future realised volatility of a given underlying asset. Volatility swaps allow investors to trade the volatility of an asset directly, much as they would trade a price index. Its payoff at expiration is equal to where: is the annualised realised volatility, is the volatility strike, and is a preagreed notional amount. that is, the holder of a volatility swap receives for every point by which the underlying's annualised realised volatility exceeded the delivery price of , and conversely, pays for every point the realised volatility falls short of the strike.

In numerical analysis, a numerical method is a mathematical tool designed to solve numerical problems. The implementation of a numerical method with an appropriate convergence check in a programming language is called a numerical algorithm. Let be a well-posed problem, i.e. is a real or complex functional relationship, defined on the cross-product of an input data set and an output data set , such that exists a locally lipschitz function called resolvent, which has the property that for every root of , .

In financial economics, asset pricing refers to a formal treatment and development of two main pricing principles, outlined below, together with the resultant models. There have been many models developed for different situations, but correspondingly, these stem from either general equilibrium asset pricing or rational asset pricing, the latter corresponding to risk neutral pricing.

Computer simulation is the process of mathematical modelling, performed on a computer, which is designed to predict the behaviour of, or the outcome of, a real-world or physical system. The reliability of some mathematical models can be determined by comparing their results to the real-world outcomes they aim to predict. Computer simulations have become a useful tool for the mathematical modeling of many natural systems in physics (computational physics), astrophysics, climatology, chemistry, biology and manufacturing, as well as human systems in economics, psychology, social science, health care and engineering.

In mathematics, the Fourier inversion theorem says that for many types of functions it is possible to recover a function from its Fourier transform. Intuitively it may be viewed as the statement that if we know all frequency and phase information about a wave then we may reconstruct the original wave precisely. The theorem says that if we have a function satisfying certain conditions, and we use the convention for the Fourier transform that then In other words, the theorem says that This last equation is called the Fourier integral theorem.