List of Courses

Theme1: Asset Pricing & Stochastic Processes (APS)

APS1: Arbitrage Pricing & Stochastic Calculus (Sem 1 core)
Stochastic processes, Ito integral, stochastic calculus, SDEs, arbitrage pricing theory, optimal stopping and American option pricing, jump-diffusion models
Module leader: Prof Schmidt

APS2: Advanced Derivatives Pricing (Sem 2 core)
American option pricing, hedging strategies, stochastic volatility, jump-diffusion models, implied volatilities, model risk, empirical tests.
Module leaders: Prof Vecer and Prof Kassberger

APS3: Interest Rate & Credit Risk Modelling (Sem 3 core)
Interest rate products, yield curve modelling, structured products, HJM, short rate models, market models; credit risk management, default modelling, default dependence.
Module leader: Prof Schmidt

APS4: FX Options & Structured Products (Sem 3 elective)
Exotic options, structured products, compound and installment, basic exotics, Asian barriers, complex barriers, multi-asset options, quantos.
Module leader: Prof Wystup 

Theme 2: Investment Management & Optimisation (IMO)

IMO1: Optimisation & Portfolio Management (Sem 1 core)
Mean-variance analysis and Lagrangian optimisation, CAPM, Kuhn-Tucker and duality, steepest descent, parameter estimation, Black-Littermann, Active portfolio management.
Module leaders: Prof Schröder and Prof Kassberger

IMO2: Dynamic Investment Management (Sem 2 core)
Utility maximisation, stochastic control (Hamilton Jacobi, Lin-Quad Gaussian), Merton model, stochastic duality, regime switching models, applications to asset management.
Module leaders: Prof Kassberger and Prof Lleo (Reims)

IMO3: Advanced Investment Management (Sem 3 elective)
Kelly strategies and „great investors“, dynamic mutual funds, stochastic optimisation, scenario building, endowments–pensions–insurers, Asset-Liability, optimal trading.
Module leader: Prof Lleo (Reims)

Context

C1: Quotation and Pricing (pre-session)
Money market, bond market, derivatives (swap, future, FRA), Bundfuture, bootstrapping from Swap Curve, equity, foreign exchange, practical work in Excel.
Module leader: Prof Heidorn

C2: Financial Econometrics (Sem 1 core)
Quick survey of estimation and regression, focus on time series, modelling long-run
relations, modelling volatility, regime-switching, stochastic volatility and jump models.
Module leader: Prof Vecer

C3: Numerical Methods (Sem 2 core)
Numerical differentiation and Greeks, PDEs, Weighted Monte-Carlo Calibration, Fourier methods, Laplace inversion, finite difference methods, n-dimensional optimisation.
Module leaders: Prof Wystup and Prof Kassberger

C4: Software Engineering (Sem 3 elective)
Object-orientation and design patterns, profiling, optimisation, refactoring, version control, testing and validation, database issues, user interface principles.
Module leaders: Prof Roßbach and Prof Packham

C5: Risk Management (Sem 3 elective)
Principles of risk measurement and risk management, market risk, counterparty risk, Basel II and III, Solvency II, contagion, principal-agent aspects.
Module leaders Prof Walther and Dr Becker

C6: Bespoke Courses for Sponsoring Firms (Sem 3 elective)
The programme is open to include bespoke courses that are tailored to the specific needs of a sponsoring firm.
Module leader: Frankfurt School professor, joint with quant professional from sponsor