Modul

The assessment is carried out as partial exams (according to Section 4(2), 1 or 2 of the examination regulation) of the single courses of this module, whose sum of credits must meet the minimum requirement of credits of this module. The assessment procedures are described for each course of the module separately. The overall grade of the module is the average of the grades for each course weighted by the credits and truncated after the first decimal.

Students apply statistical methods to estimate expected returns, risk and risk densities of different investment instruments. They will know how to apply maximum likelihood and expectation maximization algorithms to estimate linear and non-linear asset pricing models from the fixed-income, equity or option pricing literature. Besides a conceptual understanding, students will implement the estimation algorithms using modern software and learn about current innovations in the macro-finance literature, aiming to price bonds, equity and option markets with explicitly accounting for fundamental economic and monetary policy related risks under no-arbitrage.

None.

See respective lecture

The total workload for this module is approximately 270 hours. For further information, see respective lecture.