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Arbitrage Pricing


Schneider P.

Docente titolare del corso

Van Uffelen M. P.




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.

Modalità di insegnamento

In presenza

Impostazione pedagogico-didattica

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.

Modalità d’esame

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



Offerta formativa