教师：Dr. Sanae Rujivan (Walailak University)

课程时间 The first course takes in Dec. 28, 2020, following by 7 courses (Jan 13, 15, 18, 21, 22, 25, 26，2021，every time 1 hour from 14:00),

课程目的 introducing one class of continuous-time stochastic processes known as Ito processes widely used in quantitative finance to describe stock price dynamics. Furthermore, this course introduces two important approaches, Monte-Carlo simulations and Partial Derivative approach, to price futures and options based on the Black-Scholes and Heston stochastic volatility models.

先期课程 Mathematical Analysis, Probability Theory, Ordinary and Partial Differential Equations (ODEs and PDEs), Numerical Methods for ODEs.

课程内容 1. Introduction to Ito processes and their applications; 2. Stochastic differential equations (SDEs); 3. Numerical methods for SDEs; 4. Monte Carlo (MC) simulations; 5. Black-Scholes and Heston stochastic volatility models for stock prices; 6. Computing futures and option prices using MC simulations; 7. Valuation of futures and options using the PDE approach and Feynman Kac Theorem; 8. Comparison between MC simulations and PDE approach. The course includes homework and final examination.

课程网址 Zoom ID 如下表 password 123456

欢迎大家参加！