Veranstaltung

The aim of this seminar is to master real-world challenges of computational risk and asset management. The CRAM team offers a wide range of topics across different asset classes and different stages of the investment process.

Students will work on a quantitative problem related to risk and asset management. This seminar is ideally suited for students who want to deepen and apply their statistics / programming skills and knowledge about financial markets. Industry-relevant problems will be solved with financial data and modern statistical tools in close collaboration with a supervisor. Topics which students solved in the past include the option-based pricing of dividends during the Euro crisis, the estimation of risk neutral moments with high-frequent data and the application of a particle filter to estimate stochastic volatility. The current topics will be presented during the first meeting.