Asset Pricing II is a PhD-course offered by
the
Danish Doctoral School of Finance.
The focus is on the "no arbitrage" pricing in
continuous-time models. The course consists of 5
2-day sessions. The 1st and 2nd sessions are is taught by
Bjarne Astrup Jensen, the 3rd and 4th sessions by
Rolf Poulsen,
and 5th session by Jim Gatheral from Merril Lynch.
In the former parts of the course we use Tomas Björk's book
Arbitrage Theory in Continuous Time.
The latter parts - in particular the final session -
will be based on Jim Gatheral's book
The Volatility Surface: A Practitioner's Guide.
Scientific specs
Schedule
Registration