MBA Programs with version as Tag

Advanced Option Pricing Model Course of MFin at University of Hong Kong

MFIN7017
Advanced Option Pricing Model
6-7
Tse, Raymond
General Information
This course brings together the practical and theoretical knowledge taught in the other derivatives and risk management courses in the MFIN program to introduce some of the state-of-the-art option pricing models. The course dwells on the original insights of various authors for exotic option pricing and option pricing models with volatility smiles. In addition to the plain-vanilla European option model, the course discusses the continuous and discrete barrier, lookback, Asian, American, excursion option pricing models. It also discusses the jumps and stochastic volatility option pricing models, including the latest option pricing models under Levy processes. Although this course highlights the theoretical and technical motivation of the various models, its delivery requires some hands-on knowledge of MatLab programming. Students finished this course will be conversant to the latest development and technology in option pricing.
Extra Information
Prerequisite:
Mathematical Techniques of Finance I

Note:
Students taking this course may need to buy their own copy of Student Version

Doctoral Program of Management Science and Engineering College of Management

Huazhong University of Science & Technology

Doctoral Program
Management Science and Engineering

In order to improve the educational quality of doctoral candidates and strengthen the standardized management of Ph. D educating program, Management Science and Engineering started its Ph. D program as the first-grade discipline in September 1990, which was approved by the Graduate School. This version of instruction program is amended according to years’ practice. This program is also applicable to such majors as project management, information management and E-commerce and logistics management etc.

I. Educational Objectives
This Ph. D program aims to
1.train students to have a scientific attitude and style in pursuit of precise and truth, to have aspirations after the truth and innovations and good ethics for scientific research, and also to qualify the students with the ability to do the research independently;

2.lead students to solid and broad theoretical foundations as well as systematic and in-depth professional knowledge;

3.lead students to creative achievements in one’s own subjects or professional techniques;
4.qualify students with the ability to do research independently.

II. Research Fields
1. Theory and Methodology of Modern Management
2. Network Optimization Decision
3. Logistics Management and Engineering
4. Digital enterprise
5. Production and Operation Management
6. Information Management System
7. Management System Simulations
8. Information Management and E-commerce
9. Models and Systems for Financial Decisions
10.Project management

III. Length of Schooling and Credits
Full time Ph. D candidates usually spend 3 or 4 years finishing their studies. They may get their degrees earlier but not less than two and a half years, or get their degrees later but not more than 6 years. The specific length of schooling will be decided by supervisor according to the student’s case. For those students who get direct entry into Ph.D study from master period, they usually spend 4 or 5 years finishing their studies.

IV. Requirements for Ph. D Candidates
1.The education of doctoral candidates will follow the policy of “supervisor in full charge”, and organize a direction group with the supervisor as the monitor. The direction group together is responsible for the education and evaluation of the doctoral candidates.

2.Interdisciplinary Courses
1 The cross first-grade-disciplinary courses refer to graduate courses which are not defined in Management Science and Engineering. The students who select these courses must attend the classes and take the final examination.
2 The selected cross-disciplinary courses should not be the same as or similar to the courses taken during the periods as master candidates.

3.Seminars
Seminars are of importance for cultivating the comprehensive ability and leading the candidates into the advanced research fields. Within the professional fields specified by the supervisor, the doctoral candidates should participate in the special research reports given by others or take classes. The candidates should then review the most recent research papers according to the special report or the content of the course, and compose a research report and give the report in public seminars. The candidates can get 6 credits from special seminars. The allocation of the credits is 2 credits for Methodology of Management Research, 2 for advanced courses in the profession and 2 for seminar.