Financial Engineering

Prof. Dr. Christian Bender

Wintersemester 2024/2025

Recommended prerequisites

The course requires knowledge of the theory of stochastic processes and of mathematical finance at the level of the courses: Stochastik I, Stochastics II, Stochastic Differential Equations, Mathematical Finance.

Lectures

Thursdays, 8.30 - 10.00 am, place (tba)

Tutorials

One hour per week (by arrangement)

Exam

Oral exam at the end of the semester.

Contents

Several popular stock price models (Black-Scholes, Dupire, Heston, Merton) are discussed, along with methods for calibrating these models to market data and with numerical algorithms for option pricing.