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Content: Asymptotic methods, European options in incomplete markets, Interest rate products: implementation and calibration, Hybrid interest rate products, Cross currency collateralisation
Content: Algorithmic and high frequency trading, Limit order books and market microstructure, Advanced financial data analysis, Energy markets, Term structure modelling in the physical and risk-neutral measures.
Finite differences, Calibration of derivative pricing models, Advanced Monte Carlo techniques, Elementary econometric models, Financial computing using Python and software libraries.
Content: Behavioural finance, credit risk, Bayesian risk management