This course aims to introduce the basic option pricing in continuous-time settings, elements of numerical analysis and their applications in financial engineering. Key topics include stochastic calculus, fundamental pricing theory with different numeraires, risk-neutral pricing, Black-Scholes model, numerical methods for PDEs, binomial trees and Monte Carlo simulation.

In addition to acquiring mathematical skills and training in option pricing, students will strengthen their discovery skills as they apply theories related to real life investment situations, analysis of arbitrage opportunities, and hedging portfolio with Greeks. Students are also required to implement basic VBA programs in the Excel environment when they conduct option pricing.