Advanced Methods in Quantitative Finance

Guest Instructor: 
Brenda López Cabrera
Time I: 
10:00am to 12:00pm
Venue I: 
HU Berlin, Spandauer Str. 1, Room 21b

The course Advanced Methods in Quantitative Finance aims to develop and equip students with professional skills in modern quantitative finance. The course starts with an introduction into the basic concepts of value at risk, option pricing and its probabilistic foundations. Next, fundamentals of credit risk will be studied; rating migrations will be studied. Black‐Scholes (BS) Option model is presented leading to the analytic solution for the BS Option price. Numerical solutions via a binomial or trinomial tree construction are discussed in detail. Modern financial engineering techniques such as the Implied volatility (IV) models or State Pricing Densities estimation will be also discussed as approaches to resolve a shortcoming of the BS model.

Oral exam

Spring 2012
Humboldt-Universität zu Berlin