Concept
Financial engineering
Cours associés (17)
FIN-404: Derivatives
This course provides a detailed presentation of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contracts, futures contrac
FIN-414: Optimization methods
This course presents the problem of static optimization, with and without (equality and inequality) constraints, both from the theoretical (optimality conditions) and methodological (algorithms) point
FIN-417: Quantitative risk management
This course is an introduction to quantitative risk management that covers standard statistical methods, multivariate risk factor models, non-linear dependence structures (copula models), as well as p
EE-726: Sparse stochastic processes
We cover the theory and applications of sparse stochastic processes (SSP). SSP are solutions of differential equations driven by non-Gaussian innovations. They admit a parsimonious representation in a
FIN-410: Real options and financial structuring
The course covers advanced topics in corporate finance such as the design and valuation of corporate securities, the issuing process for theses securities, real options, and their implications for val
FIN-472: Computational finance
Participants of this course will master computational techniques frequently used in mathematical finance applications. Emphasis will be put on the implementation and practical aspects.
FIN-418: Machine learning for finance
This course is introduces machine learning techniques for financial applications in algorithmic trading, derivatives pricing, model calibration, hedging, and risk management. The course format is hand