WiMa Praktikum II (Finanzmathematik)

Registration:

To register for the course, please write an email to Dirk Brandes until October 1st 2018. 

Please give your name, matriculation number, and your courses of studies you have taken in the area of Financial Mathematics. 

The number of participants is limited to 12 students. 

Wednesdays, 13:15 - 15:30 pm in He18 - trading room from 14/11/2018 until 31/01/2018.

10 appointments at 3 SWS.

First Meeting:

Wednesday, 14th November 2018, 13:15 - 15:30 pm.

Prerequisites:

WiMa Praktikum I Numerik and Financial Mathematics I.

Contents:

The course covers the following topics:

• Black Scholes framework, risk neutral pricing evaluation and greeks.
• Dynamic Hedge under the Black Scholes model.
• Calibration of option pricing models to market data.
• Estimation of the implied risk neutral density: the Breeden-Litzenberger formula.
• Advanced financial market models: Lévy Processes.
• Option pricing using Fourier and Laplace transforms.

Material:

In moodle.