Quantitative Finance

Aims of the course

no description

Course syllabus

1. Mathematical Background and Elementary Stochastic Calculus.
2. Time Series Models: Mean-Reversion, Random Walk, AR, MA, ARMA Models and GARCH. VAR Models and Cointegration.
3. Fixed Income Products and Analysis: Yield, Duration, and Convexity.
4. Interest Rate Modeling: One-factor Interest Rate Modeling. Multi-factor Interest Rate Modeling. Interest Rate Derivatives.
5. Asset Pricing Models. Generalized Method of Momemnts.
6. Portfolio Management and Asset Allocation in Continous Time.
7. Mean-Variance and Beta Representation.
8. Black-Scholes Model and "Greeks".
9. Statistical vs. Implied Volatility and Correlation. Implications for Delta Hedging.
10. Forecasting Volatility and Correlation and Consequences of Uncertainty in Volatility and Correlation.
11. Modelling the Market Risk of Portfolios: Principal Component Analysis. Application to Term Structures. Heath, Jarrow and Morton Approach. Modelling Volatility Smiles, Surfaces and


Skews. Covariance Matrices and Applications in Risk Management and Investment Analysis
12. (i.e. Mean-Variance Analysis).
13. Numerical Methods: Monte Carlo Simulation.

Course director(s)