Found 6 relevant results in 2.07s where lecturer="Philipp Schönbucher"
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The course aims at providing an introduction to mathematical finance. Starting from a review of probability theory and a summary of martingale theory, an introduction to stochastic integration including its application to mathematical finance will be given. Topics addressed include Ito's formula, Girsanov's Theorem, put-call parity and option pricing in the Black-Scholes Model.
Monte Carlo Methods in Financial Engineering
Monte Carlo Methods in financial engineering
Monte Carlo simulation is one of the central numerical methods for the calculation of prices and risk parameters in financial engineering. Using Glasserman's book, we will cover the basic principles of MC simulation and also address various methods to improve convergence and to solve certain special problems.
Probability and Statistics
Wahrscheinlichkeit und Statistik
Basic concepts from probability and statistics:- introduction to probability theory- short introduction to basic concepts and methods from statistics
Seminar on Insurance and Financial Mathematics
Seminar über Versicherungs- und Finanzmathematik
The goal of this seminar is to present various stochastic methods for claims reserving.These methods enable to set adequate reserves for open claims and todetermine prediction errors of these estimators.
This lecture covers the mathematical modelling of interest-rate and credit risks and the application of quantitative models to the pricing of interest-rate and credit derivatives.