Foreign Exchange Derivatives: A Theoretical and Computational Introduction

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2017 Financial Mathematics and Financial Engineering Summer School in Weihai

When/Where

• July 19 9:00-11:00 and 14:-16:00
• July 20 9:00-11:00 and 14:-16:00
• July 21 9:00-11:00

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.

Prerequisites

Stochastic analysis, analysis, algebra, numerical analysis.