Topic outline

  • 9-10 lectures, 6 exercises

    lectures on Wednesdays at 12.15 – 14.00 and Fridays at 10.15 – 12.00

    exercises on Fridays at 12.15 – 14.00 with EljasToepfer

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    3 credit version: choose A or B

    • A: lectures, exercises, 1 assignment and a light examination OR
    • B: lectures, exercises, and examination

    The final grade of version A is based on the assignment 50 % and the examination 50 %. The final grade of version B is based on the examination.

    5 credit version: lectures, exercises, two assignments (HFT (in groups), CVA (in groups or individually)) and a light examination

    The final grade is based on the trading assignment 25 %, the CVA assignment 40 % and the examination 35 %.

    6 credit version: 5 credit version with additional written assignment/lecture diary

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    Exercises

    4 traditional exercises and 2 computational exercises.

    We will consider

    • problems related to the theory of the lectures
    • problems related to Ito calculus
    • computational exercises are partly done with real data (Matlab, R, Python)

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    Light examination 

    The aim is to check that you have read through the course material.  

    You can earn additional points in the examination by 

    • returning solutions for the computational exercises (1-2 points/exercise week)
      • the DL is 1.3.
    • by writing a 2 pager on a Wilmott article: Where Quants go Wrong. This article is in the folder Lecture 1-2. The DL is 7.2. (1-2 points)