Number of hours
- Lectures 12.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works 6.0
- Written tests -
ECTS
ECTS 2.0
Goal(s)
- Understand the theory of American options and the dynamic programming principle
- Learn the associated numerical methods
Responsible(s)
Jerome LELONG
Content(s)
- American options in discrete time
- Arbitrage reasonning
- Dynamic programming principle
- Snell envelope and optimal stopping theory
- American options in continuous time
- Snell envelope in continuous time
- American Monte Carlo methods: the Longstaff Schwartz algorithm and quantization
- PDE approach
- Dual approach
Test
Evaluation : Projet (rendu du code et des résultats) (NC)
Resit : Projet (rendu du code et des résultats) (NC)
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : 5MMOATA
Course language(s): 
You can find this course among all other courses.