- Master methods of stochastic analysis for the valuation of financial products
- Master methods of stochastic control theory for the optimization of trading strategies
- Apply complex models for modeling stock prices and interest rates
- Develop and implement hedging strategies
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Basic knowledge of stochastic analysis and stochastic control theory (HJB equations), the general Black-Scholes formula in complete markets (one- and multi-dimensional), hedging in complete markets, valuation approaches in incomplete markets, valuation of path-dependent options, the optimal consumption and investment problem, basic interest rate models, valuation of interest rate derivatives in basic interest rate models.
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