WiMa Praktikum II (Finanzmathematik)

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.

To register for the course, please write an email to Imma Curato until 28th of October 2020. 

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.