Ensimag Rubrique Formation 2022

American Options: Theory & Algorithms - 5MMOATA

  • Number of hours

    • Lectures 9.0
    • Projects -
    • Tutorials -
    • Internship -
    • Laboratory works -
    • 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

N1 = P1
N2 = P2

P1 : projet
P2 : version corrigée de P1

Calendar

The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 9
see the course schedule for 2023-2024

Additional Information

Course ID : 5MMOATA
Course language(s): FR

You can find this course among all other courses.