The course covers material that is beyond the course "Statistik der Finanzmärkte I + II". The first part is devoted to Value-at-Risk introduction, conceptual discussion and calculation. Several methods including parametric and nonparametric approach have been introduced. Copulae technique is also contributed here. The second part is implied volatility modeling and its applications. The third part is the calibration of various option pricing models.
Prerequisites: Multivariate statistical analysis, Statistical programming languages and Statisitics of Financial Markets.
Semester: SoSe 2022