This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. We study fundamental notions and techniques necessary for applications in finance such as option pricing, hedging, optimal portfolio choice and prediction problems.
This course is an introduction to quantitative risk management that covers standard statistical methods, multivariate risk factor models, non-linear dependence structures (copula models), as well as portfolio allocation and diversification.
This course provides an overview of the theory of asset pricing and portfolio choice theory following historical developments in the field and putting
emphasis on theoretical models that help our understanding of financial decision
making and financial markets.
This course focuses on on methods and algorithms needed to apply machine learning with an emphasis on applications in business analytics.