Topic outline

  • Important: these are the official course requirements. If something different is stated somewhere else, please believe this page. 


    • lectures on Wednesdays at 12.15 – 14.00, Kaila
    • exercises on Fridays at 12.15 – 14.00, Toepfer 

    Attendance at lectures or exercises is not compulsory.

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    requirements

    3 credit version A:

    • Lectures
    • Exercises
    • Two mid-term exams
    • No assignments
    • Final grade: exams

    3 credit version B:

    • Lectures of one period (Lectures 1-6 or 7-12)
    • Exercises of one period 
    • One mid-term exam
    • Assignment (CVA or Yield curve)
    • Final grade: 0.8 x exam+ 0.2 x assignment


    5 credit version

    • Lectures of periods 3 & 4
    • Exercises of periods 3 & 4
    • Two mid-term exams
    • Two assignments (CVA and Yield curve)
    • Final grade: 0.8 x exams + 0.2 x assignments


    6 credit version

    • 5 credit version and a short essay
    • Final grade: 0.8 x exam + 0.2 x assignments


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    Exercises, 6 traditional sessions, 3 computer exercises

    We will consider

    • problems related to the theory of the lectures
    • problems related to Itô calculus
    • problems related to taking option positions
    • computational exercises that are partly done with real data (R, Python)

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    There might be a possibility to earn additional points for the examination. You will be informed on this later.