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Expertisecentrum CIBIFOnderdeel van Rijksuniversiteit Groningen

Expertisecentrum CIBIF

Faculteit Economie en Bedrijfskunde
Centre of Expertise CIBIFBlog
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Courses CIBIF: Quantitative Finance

Datum:09 november 2018

This course provides an advanced treatment of the most important concepts in financial engineering. The course puts emphasis on the mathematical translation of concepts like risk, riskless profit, derivative, tradable, in continuous time. Both derivative pricing as well as stochastic optimal control used in solving dynamic portfolio problems are introduced. Basic applications of the theory will also be dealt with and the practical applicability will be highlighted. The course is based on the book Arbitrage Theory in Continuous Time by Thomas Björk.

Course coordinator: Lammertjan Dam