Investment Analysis
The first attempt for the written exam is on 10.1.2019 (Thursday). It will take place in room K2 at 15:40. The oral part will be immediately later and the next morning.
The second attempt has been scheduled for 30.1.2019 (Wednesday) at 10:00 in room K5. The oral will take place in the same afternoon and the next morning. Please, send me an email to arrange the time.
Please find a counter-example that proves that Value-at-Risk is not subadditive here.
Please find an example of immunization using duration to ensure a given return in this file.
Please find the presentation about Utility and Stochastic Dominance here.
Dear student, please reserve the time slot in this Doodle according to the project you would like to present.
Here is the list of the project with the corresponding time slot (if you don't find an available slot, please contact me).
6 December 2017:
17:20 - 17:50 Convertible bonds
17:50 - 18:20 CoCos (coupon payied under conditions on the underlying)
18:20 - 18:50 Collaterized debt obligations (CDO)
13 December 2017:
17:20 - 17:50 Swaps (except CDS)
17:50 - 18:20 Swaptions
18:20 - 18:50 Credit default swaps (CDS)
20 December 2017:
17:20 - 17:50 Barrier options
17:50 - 18:20 Asian options
18:20 - 18:50 Binary options
3 January 2018:
17:20 - 17:50 Forward rate agreement (FRA)
17:50 - 18:20 Interest rate caps and floors
18:20 - 18:50 Forex
The second attempt has been scheduled for 30.1.2019 (Wednesday) at 10:00 in room K5. The oral will take place in the same afternoon and the next morning. Please, send me an email to arrange the time.
Please find a counter-example that proves that Value-at-Risk is not subadditive here.
Please find an example of immunization using duration to ensure a given return in this file.
Please find the presentation about Utility and Stochastic Dominance here.
Dear student, please reserve the time slot in this Doodle according to the project you would like to present.
Here is the list of the project with the corresponding time slot (if you don't find an available slot, please contact me).
6 December 2017:
17:20 - 17:50 Convertible bonds
17:50 - 18:20 CoCos (coupon payied under conditions on the underlying)
18:20 - 18:50 Collaterized debt obligations (CDO)
13 December 2017:
17:20 - 17:50 Swaps (except CDS)
17:50 - 18:20 Swaptions
18:20 - 18:50 Credit default swaps (CDS)
20 December 2017:
17:20 - 17:50 Barrier options
17:50 - 18:20 Asian options
18:20 - 18:50 Binary options
3 January 2018:
17:20 - 17:50 Forward rate agreement (FRA)
17:50 - 18:20 Interest rate caps and floors
18:20 - 18:50 Forex