105.054 Mathematical Finance 1: Discrete-Time Models
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2011S, VU, 4.0h, 6.0EC

Properties

  • Semester hours: 4.0
  • Credits: 6.0
  • Type: VU Lecture and Exercise

Aim of course

A gentle introduction to mathematical finance: The mathematical theory of arbitrage, pricing and hedging of derivative securities in a discrete, elementary setting.

Subject of course

The one-period model (Arbitrage, risk neutral measure, pricing, complete markets, optimal portfolios) The multiperiod model (self-financing portfolios, duality, Dalang/Morton/Willinger theorem) The Binomial Model, Cox-Ross-Rubinstein Model, distribution of the maximum Markov Models Taking limits in the Binomial Model, Black-Scholes Model American Options, Snell envelope, Doob decomposition Optimal portfolios

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu14:30 - 16:0003.03.2011 - 30.06.2011FH Hörsaal 3 - MATH .
Thu14:45 - 16:0007.04.2011FH Hörsaal 3 - MATH Because of the TUday11 the lecture starts at 14:45
Thu14:30 - 16:0005.05.2011FH Hörsaal 5 - TPH Übungstest
Thu14:30 - 16:0016.06.2011FH Hörsaal 5 - TPH Übungstest
Mathematical Finance 1: Discrete-Time Models - Single appointments
DayDateTimeLocationDescription
Thu03.03.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu10.03.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu17.03.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu24.03.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu31.03.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu07.04.201114:45 - 16:00FH Hörsaal 3 - MATH Because of the TUday11 the lecture starts at 14:45
Thu14.04.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu05.05.201114:30 - 16:00FH Hörsaal 5 - TPH Übungstest
Thu12.05.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu19.05.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu26.05.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu09.06.201114:30 - 16:00FH Hörsaal 3 - MATH .
Thu16.06.201114:30 - 16:00FH Hörsaal 5 - TPH Übungstest

Examination modalities

There will be two written tests (most probably May 5 and June 16 2011) plus an oral exam.

Course registration

Begin End Deregistration end
28.02.2011 00:00

Curricula

Study CodeObligationSemesterPrecon.Info
033 205 Financial and Actuarial Mathematics Mandatory4. Semester
033 215 Actuarial Mathematics Mandatory6. Semester
066 400 Mathematics Mandatory elective
066 401 Statistics Mandatory elective
066 402 Mathematics in Science and Technology Mandatory elective
066 403 Mathematics in Economics Mandatory4. Semester
066 403 Mathematics in Economics Mandatory4. Semester
066 404 Mathematics in Computer Science Mandatory elective
066 405 Financial and Actuarial Mathematics Mandatory elective
860 Technical Mathematics Mandatory elective
864 Mathematics for Natural Sciences Mandatory elective
866 Economic Mathematics Mandatory elective
867 Statistics Mandatory elective
869 Mathematics in Computer Science Mandatory elective
873 Finance and Actuarial Mathematics Mandatory elective

Literature

Stanley R. Pliska: "Introduction to Mathematical Finance: Discrete Time Models"
Daniel Lamberton, Bernard Lapeyre: "Stochastic Calculus Applied to Finance"
Steven E. Shreve: "Stochastic Calculus Models for Finance I: The Binomial Asset Pricing Model"
Hans Föllmer and Alexander Schied: "Stochastic finance. An introduction in discrete time."
John Hull: "Options, Futures, and Other Derivatives"
Foundations:
David Williams: Probability with Martingales

Language

German