Syllabus
Markowitz theory of portfolio. Optimal portfolio.
Capital asset pricing model. Security market line.
Capital market line. Term structure of interest rates.
Yield curves and their construction. Risk measures: value at risk (VaR), conditional value at risk (CVaR), spectral risk measures, expectiles.
Matching of assets and liabilities: matching and immunization, dedicated bond portfolio, stochastic model. Arbitrage pricing theory: regression model, factor model.
Stochastic models of interest rates and price development: discretization and estimation.
Annotation
Portfolio theory. Term structure of interest rates.
Yield curves. Analysis of risk measures and their applications in finance and insurance.
Matching of assets and liabilities. Arbitrage pricing theory.
Stochastic models of financial assets. The lectures may be read in English.