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105.054
Introduction to mathematics of Finance: discrete models
2011S
2010S
2009S
2008S
2007S
2006S
2005S
2006S, 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
Option, Futures, and other derivative securities The one-period binomial model The multiperiod Cox-Ross-Rubinstein binomial model American Options, optimal stopping, and the Bellman principle Exotic options for random walks Rubinstein's implied binomial trees General theory in a discrete setting: The Harrison-Pliska fundamental theorem of asset pricing Incomplete markets, Superhedging, Utility maximization Discrete term structure models
Lecturers
Kainhofer, Reinhold
Leitner, Johannes
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Tue
10:00 - 11:30
07.03.2006 - 30.06.2006
FH Hörsaal 4
KAINHOFER
Mon
16:00 - 17:30
13.03.2006 - 30.06.2006
FH Hörsaal 2
KAINHOFER
Show single appointments
Introduction to mathematics of Finance: discrete models - Single appointments
F
P
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2
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Day
Date
Time
Location
Description
Tue
07.03.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
13.03.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
14.03.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
20.03.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
21.03.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
27.03.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
28.03.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
03.04.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
04.04.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
10.04.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
11.04.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
17.04.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
18.04.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
24.04.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
25.04.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
01.05.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
02.05.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
08.05.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
Tue
09.05.2006
10:00 - 11:30
FH Hörsaal 4
KAINHOFER
Mon
15.05.2006
16:00 - 17:30
FH Hörsaal 2
KAINHOFER
F
P
1
2
N
E
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
Stanley R. Pliska: "Introduction to Mathematical Finance: Discrete Time Models" 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"
Language
German