Course Description --- Basic Option Theory: Financial Markets; What is an Option? What are Options For? Types of Options; Put & Call Options; Trading of Options; American & European Options; Interest Rates. --- Stochastic Tools: Normal Distributions; Wiener Processes (Brownian motion); Poisson Process Stochastic Differential Equations; Ito's Lemma; etc.
--- Black-Scholes Model: Black-Scholes Analysis; Black-Scholes Equations; Black-Scholes Formulas; Boundary and Final Conditions; Hedging in Practice; Implied Volatility; Risk-neutral Valuation.
--- Numerical Methods for Option Pricing
Assessment Scheme Six homework assignments
The Chinese University of Hong Kong places very high importance on honesty in academic work submitted by students, and adopts a policy of zero tolerance on cheating and plagiarism. Any related offence will lead to disciplinary action including termination of studies at the University. Although cases of cheating or plagiarism are rare at the University, everyone should make himself / herself familiar with the content of the following website:
http://www.cuhk.edu.hk/policy/academichonesty/and thereby help avoid any practice that would not be acceptable.