Quantitative Finance

Bootstrapping and Derivative Pricing in R


taught by Victor Feunou and Dr. Christoph Gerhart

December 19th, 2018 - February 08th 2019

  • Wednesdays, 8-10 am, room 100/101 Rechenzentrum
  • Fridays, 10-12 am, room 100/101 Rechenzentrum


The seminar starts on Wednesday, December 19th, 2018. 



We discuss methods to implement R-programs for the efficiently pricing of interest rate derivatives and the bootstrapping the yield curve.


Futures and Options


As the number of the participants will be limited, please apply for the seminar until October 19th, 2018 here and enclose your current transcript.



The seminar accounts for 6 ECTS.

The seminar is open for students of  M.Sc. Economics,  M.Sc. VWL as well as M.Sc. Mathematik.

In M.Sc. Economics, the seminar can be credited in the profile "Finance".

In M.Sc. VWL the seminar can be credited in Accounting, Finance, and Taxation (new examination regulations, valid from winter term 2014/15 onwards).

Students of M.Sc. Mathematik can credit this seminar as an elective in economics (wirtschaftswissenschaftliches Wahlpflichtmodul) within the profile "Finanzmathematik.

Benutzerspezifische Werkzeuge