WiMa Praktikum II (Finanzmathematik)

Praktikum, B.Sc./M.Sc. WiMa, Elective Subject, 4LP

Tradingroom (HeHo 18), From Tuesday 7th November 10-12:15

WiMa Praktikum I (Matlab), Finanzmathematik I.

Registration:                 

To register for the course, please write an E-Mail to Imma Curato until October 12th 2017. In the e-mail please give your name, matriculation number, your course of studies and subjects you have taken in the area of Financial Mathematics. The number of participants is limited
to 12 students.

• Black Scholes framework, risk neutral pricing evaluation and Greeks.
• Hedging in incomplete markets.
• Calibration of option pricing models to market data.
• Estimation of the implied risk neutral density: the Breeden-Litzenberg formula.
• Advanced financial market models: Levy Processes.
• Option pricing using Fourier and Laplace transforms.

Info: