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Introduction to financial modeling
All lectures will be taking place in Algoritmen (A) between 15:15 and 17:00.
| Nr. | Date | Place | Contents | Slides |
|---|---|---|---|---|
| 1 | 29/10 | A | Information about the course and introduction to financial markets,
basics of equities, commodities, foreign-exchanges, forward and futures. |
|
| 2 | 01/11 | A | Options, payoff diagram, put-call parity, option strategies. | |
| 3 | 08/11 |
A | Poisson process and Brownian motion, introduction to stochastic differential equations,
Ito calculus, Wiener, Orstein -Uhlenbeck, Langevin equation, introduction to martingales. |
|
| 4 | 12/11 |
A | Risk neutral pricing, Fynman-Kac formula. | |
| 5 | 19/11 | A | Black-Scholes model and the Greek letters. | |
| 6 | 22/11 | A | Volatility problem,implied volatility, smile dynamic, leverage effect, heteroskedasticity, introduction to Garch and stochastic volatility models. |
|
| 7 | 26/11 | A | Inference Problems. ( No lecture on 26/11. Please see News for details.) | reading materials |
| 8 | 29/11 | A | System identification in finance, parametric, semi/non parametric, maximum likelihood, EM. | |
| 9 | 03/12 | A | Cointegration methods and course summary. |
Informationsansvarig: Escobar J. and Saha S.
Senast uppdaterad: 2012-12-07
