Bootstrapping and Derivative Pricing in R
Seminar
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.
Content
We discuss methods to implement R-programs for the efficiently pricing of interest rate derivatives and the bootstrapping the yield curve.
Prerequisites
Futures and Options
Application
As the number of the participants will be limited, please apply for the seminar until
October 19th, 2018 here and enclose your
current transcript.
Credit
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.