Introductory course with a wide selection of topics from quantitative finance.

Topics include

• Basic notions, stylized facts and modeling concepts in finance
• Time series and econometric models
• Bond pricing models, fixed income markets
• Derivates: futures, options, swaps
• Option pricing: discrete and continuous models, Black-Scholes theory
• Modeling defaults with point processes, default correlation
• Risk measures and risk mitigation
• Modern portfolio theory, factor investment
• Trading financial assets
• Machine learning applications in finance
• Finance on blockchains

Course delivered by RiskLab staff and guest lecturers delegated by participating industry partners.

Course coordinator: Gabor Fath - gabor.fath @ ttk.elte.hu

Neptun code: dsfinriskf20em

Next course: Feb - May, 2025