The course “Advanced Topics in Mathematical Finance” presents the foundational theory of mathematical finance in continuous time, including no arbitrage theory and pricing/hedging of financial derivatives, as well as a selection of more advanced topics, like volatility modeling and portfolio optimization.
Credit: Martin Bergerhausen
Advanced Volatility Modeling (MAC 575)
The course “Advanced Volatility Modeling” explores modern techniques for modeling and calibrating volatility in financial markets. Topics include the dynamics of implied volatility, local and stochastic volatility models, the theory and particle methods for McKean–Vlasov stochastic differential equations, the numerical implementation of calibration algorithms, and applications to the pricing of exotic derivatives.
Credit: David Prömel
Stochastic Calculus (MAA 519)
The course “Stochastic Calculus” develops the mathematical theory required for probabilistic modeling of real-world phenomena, as it is used in various areas like mathematical finance, engineering and social science. In particular, we study stochastic integration with respect to Brownian motion, stochastic differential equations, change of measures, and martingale representation theorems.
Credit: Anna Logue
Seminar “Finanzmathematik” (SEM 463/MAS 540)
The seminars “Diskrete Finanzmathematik” (SEM 463) and “Finanzmathematik” (MAS 530) cover selected topics in various directions of discrete-time financial modeling as well as more advanced “hot” topics in mathematical finance.
Credit: Anna Logue
Seminar “Lebensversicherungsmathematik” (SEM 494/MAS 554)
The seminar “Lebensversicherungsmathematik” (SEM 494/MAS 554) covers selected basic as well as more advanced research related topics in various directions of life insurance mathematics.
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