Course unit: Financial mathematics

Brief description

This course is a specialized course for anyone interested in mathematical finance. The main topics are advanced derivatives pricing, interest rate models, numerical methods in finance and portfolio management with structured products.

Learning outcomes

Course content

Advanced mathematical finance

  1. Local volatility models (Dupire, CEV)
  2. Stochastic volatility models (Heston, SABR)
  3. Interest rate models (Vasicek, Hull&White, Cox-Ingersoll-Ross)
  4. Princing with Matlab

Advanced portfolio management

  1. The principles of portfolio insurance
  2. Three basic methods (Stop-loss, CPPI, OBPI)
  3. Dynamic management and simulations

Bibliography