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Arbitrage Pricing


Schneider P.

Course director



Statistics, Financial Econometrics

The course is structured along the following topics.

  • Brief review of probability
  • No-arbitrage in the static, finite-dimensional case
  • No-arbitrage in a dynamic (in)finite-dimensional setting
  • Brownian motion
  • Introduction to the stochastic calculus
  • Feynman-Kac theorem
  • Black-Scholes model
  • (Affine) term structure models


All material will be provided.


Arbitrage Pricing develops the notion of ‘no-arbitrage’ or ‘no free lunch’ from first principles. After having taken the course, students will be familiar with the general concept of no-arbitrage, and its use in the pricing of uncertain cash flows with common models used in the industry and academia.

Teaching mode

In presence

Learning methods

Our classes will simultaneously develop the theory and its applications. Students will be introduced to the must-know models for a career in modeling and pricing.

Compliant with COVID-19 guidelines.

Examination information

Weekly homeworks will account for 20% of the grade, a final written exam for 80%.