Foreign Exchange Derivatives: A Theoretical and Computational Introduction

2017 Financial Mathematics and Financial Engineering Summer School in Weihai


Course Description

FOREX derivatives is a very active and theoretically challenging topic. During this lecture we will introduce the theory of FOREX markets and derivative pricing. We will discuss and implement implied volatility surface calibrations, and review some of the most recent models as well as their numerical implementations.


Stochastic analysis, analysis, algebra, numerical analysis.