The course Quantitative Finance consists of two parts. The first part of the course covers classical concepts of financial markets and portfolio theory such as complete Arrow-Debreu markets, Markowitz Portfolio Theory, Capital Asset Pricing Model, and Arbitrage Pricing Theory.

Pricing of market instruments such as bonds, swaps and options is the focal point of the second part of the course. Additionally necessary mathematical tools such as stochastic analysis and the theory of partial differential equations are taught on a basic and therefore comprehensible level.

• Quantitative Finance I: Theory of Financial Markets (summer term)
• Quantitative Finance II: Asset Pricing (winter term)

• Lecture
• Exercise