105.005 Advanced Mathematics of Finance
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2003W, VO, 3.0h, 3.0EC

Properties

Semester hours: 3.0
Credits: 3.0
Type: VO Lecture

Aim of course

Introduction to Mathematical Finance. Risk management of financial assets.

Subject of course

Brownian motion, Martingales, Ito's Calculus. Application to the theory of pricing and hedging derivative securities. The Black-Scholes formula for option pricing and related issues.

Additional information

gleich "Höhere Finanzmathematik" in englischer Sprache

Lecturers

Teichmann, Josef

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Thu	13:30 - 14:30	02.10.2003 - 29.01.2004	FH Hörsaal 3 - MATH	TEICHMANN
Tue	09:00 - 10:15	07.10.2003 - 29.01.2004	FH Hörsaal 3 - MATH	TEICHMANN

Show single appointments

Advanced Mathematics of Finance - Single appointments

Day	Date	Time	Location	Description
Thu	02.10.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	07.10.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	09.10.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	14.10.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	16.10.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	21.10.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	23.10.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	28.10.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	30.10.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	04.11.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	06.11.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	11.11.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	13.11.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	18.11.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	20.11.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	25.11.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	27.11.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	02.12.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN
Thu	04.12.2003	13:30 - 14:30	FH Hörsaal 3 - MATH	TEICHMANN
Tue	09.12.2003	09:00 - 10:15	FH Hörsaal 3 - MATH	TEICHMANN

Examination modalities

written and oral exam

Course registration

Not necessary

Curricula

Study Code	Obligation	Semester	Precon.	Info
740 Industrial Engineering-Management	Mandatory elective

Literature

Lamberton, Lapeyre: Introduction to Stochastic calculus Applied to Finance. Baxter, Rennie: Financial calculus - An Introduction to Derivative Pricing. Björk: Arbitrage Theory in Continuous Time. Föllmer, Schied: Stochastic Finance - An Introduction in Discrete Time

Language

English