Continuous Time Finance 2: (FinKont2)

In this course, you will learn how to design, conduct and analyze simulation-based hedge experiments, derive no-arbitrage conditions models, and use a change-of-numeraire techniques to price interest rate options.
Level
Master
Start date
See details
Duration
9 weeks
ECTS
7.5
Price
DKK 6,375

Course description

Content

  • Dynamic hedging, model risk and "the fundamental theorem of derivative trading"
  • Dividends and foreign exchange models
  • Arbitrage-free term structure models; the Heath-Jarrow-Morton formalism;  1-dim. affine models; Vasicek and Cox-Ingersoll-Ross; LIBOR market models
  • Pricing of interest rate derivatives (caps, swaptions)
  • Selected topics such as advanced models for option pricing (stochastic volatility, jumps) or multi-dimensional affine term structure models.

Recommended academic qualifications

Continuous-time Finance (FinKont) and Mathematical Finance.

Academic qualifications equivalent to a BSc degree is recommended.

See full course description

Place

The University of Copenhagen

  • Department of Mathematical Sciences

Contact

Continuing and Lifelong Learning, UCPH Education

Write to lifelonglearning@adm.ku.dk


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