Current courses

MSc Level

• Financial Econometrics and Empirical Finance I (60h), since 2021

Theory and Excel lab classes on: probability and statistics for financial markets; linear regression model; factor models; principal component analysis;

• Quantitative Finance and Derivatives I (12h), since 2023

Excel lab classes on pricing and hedging of financial derivatives within one-period, multiperiod and continuous time models

• Financial Econometrics and Empirical Finance II (12h), since 2021

EViews lab classes on financial time series topics: ARMA and VAR models, stationarity/unit roots, cointegration, (G)ARCH models

• Applied Numerical Finance (12h), since 2017

VBA lab class on derivatives pricing topics

Specialized Master Level

• Stochastic Calculus (24h), since 2020

Stochastic processes in continuous time, Brownian motion, stochastic integration, multivariate generalizations, SDEs

• Computational Methods and Machine Learning (32h), since 2020

Theory and Python lab classes on: optimization, estimation and calibration techniques, parametric pricing (Monte Carlo-, lattice-, PDE- based), non parametric pricing (machine learning-based), unsupervised and supervised learning

• Data-Driven Investments (16h), since 2021

Theory and lab classes on: concrete portfolio optimization problems and solutions (Black-Litterman algorithm, VarCov matrix shrinkage and denoising); pairs trading strategies