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.