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Limit theorems for empirical cluster functionals with applications to statistical inference

Limit theorems for empirical cluster functionals are discussed. Conditions for weak convergence are provided in terms of tail and spectral tail processes and can be verified for a large class of multivariate time series, including geometrically ergodic Markov chains. Applications include asymptotic normality of blocks and runs estimators for the extremal index and other cluster indices. Results for multiplier bootstrap processes are also provided.

Investment and Financing

Our course Investment and Financing covers the basic concepts of financial markets and investment valuation.  

Investment Valuation
Portfolio Management
Risk Management
Excel/VBA
Investment-, Portfolio- and Risk- Management

Learn how to optimize your portfolio and discover tools for risk management.  

Investment Valuation
Portfolio Management
Risk Management
Excel/VBA
Financial Modeling

Hands-on: Implementation of relevant topics covering investment-, portfolio- and risk management using Excel and VBA  

Investment Valuation
Portfolio Management
Risk Management
Excel/VBA
Quantitative Finance

Get deep insights into state-of-the-art interest rate models and derivative valuation in practice. Hands-on real problem sets using Python  

Asset Pricing
Interest rate models
Derivatives valuation
Python
Financial Econometrics

Basic concepts for financial econometrics like multivariate regressions. Advanced methods for time series analysis and forecasting.  

Regression Analysis
Time Series Analysis
Financial Forecasting
Python
Research topics in Finance

Cutting-edge ML techniques on real datasets. Replicate the main results of an A+ ranked journal article using Python and extend this strand of research  

Data scraping
Machine Learning
Financial Applications
Python