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| code: | A7357 | studiebelasting: | 3 sp | periode: | sem. 2 | ||
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| naam: | Financiële modellen 3 | ||||||
| internet: | homepage, rooster | ||||||
| opleiding/fase: | ectrie/d23/major, ectrie/duaal/major | ||||||
| voertaal: | English | ||||||
| docent(en): | prof.dr. A.A.J. Pelsser | ||||||
| contactpersoon: | prof.dr. A.A.J. Pelsser | ||||||
| secretariaat: | E&B | ||||||
| aanmelding: | - | ||||||
| toelatingseisen: | - | ||||||
| aanbevolen: | - | ||||||
| onderwijsvorm: | fifteen weeks; 2 lecture-hours per week | ||||||
| tentamenvorm: | written exam | ||||||
| tentamenperiode: | mei/juni, augustus (herkansing) | ||||||
| tentameneisen: | - | ||||||
| tentamenstof: | reader + book | ||||||
During this course we will continue with the theory developed in the course on A7355 - Financiële modellen 1. We will first focus on the pricing of exotic options and the Martingale theory and option pricing. Next we will discuss the pricing of interest rate derivatives and the concepts of value at risk and credit risk. Finally, we will discuss applications of these models to the valuation and risk management of insurance products.
Hull, J., Options, Futures and other Derivative Securities, Prentice Hall, 4th edition.
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