Mini-course «Discrete-time models in option pricing»
Laboratory of Stochastic Analysis and its Applications invites you to the mini-course «Discrete-time models in option pricing» which will be lectured by the professor of the University of Bologna (Italy) Andrea Pascucci
Location: Moscow, 11 Pokrovsky Boulevard
Schedule of the mini-course:
- 02 September – 18:00 – 21:00, room R 506
- 03 September – 18:00 – 21:00, room R 506
- 04 September – 18:00 – 21:00, room R 506
- 05 September – 18:00 – 21:00, room R 506
Course description
The course will discuss discrete-time models in option pricing. During the course the basic concepts of probability theory will be reviewed. We will also focus on the main discrete market models for European options and the basic financial market investment strategies. Special attention will be paid to the topics regarding pricing and hedging algorithms. In addition, the binomial model for American and European options, as well as Black-Scholes model, will be discussed.
Tentative schedule
Lectures 1-2. Basic concepts of probability. Discrete market models for European options.
Lectures 3-4. Self-financing and predictable strategies. Pricing in an arbitrage-free market: Equivalent martingale measure, Hedging strategies.
Lectures 5-6. Calibration, Binomial model and Black-Scholes formula. American options. Risk neutral and arbitrage prices.
Lectures 7-8. Optimal exercise strategies. American and European options in the binomial model: pricing and hedging algorithms. Free-boundary problem for American options.
The course is open to anyone interested. Whether you need the pass to the Higher School of Economics, do not hesitate to contact the lab manager Anna Belykh:abelykh@hse.ru