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105.054
Mathematical Finance: Discrete-Time Models
2011S
2010S
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2008S
2007S
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2005S
2008S, 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) Capital Asset Pricing Model (CAPM) 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, Doop decomposition Optimal portfolios
Lecturers
Schmock, Uwe
Dengler, Barbara
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Mon
16:00 - 18:00
03.03.2008 - 23.06.2008
FH Hörsaal 2
SCHMOCK
Tue
10:00 - 12:00
04.03.2008 - 24.06.2008
FH Hörsaal 7 - GEO
SCHMOCK
Mon
16:00 - 17:45
10.03.2008
FH Hörsaal 3 - MATH
SCHMOCK
Mon
16:00 - 17:45
31.03.2008 - 07.04.2008
FH Hörsaal 3 - MATH
SCHMOCK
Mon
16:00 - 17:45
14.04.2008
GM 3 Vortmann Hörsaal
SCHMOCK
Mon
16:00 - 17:45
21.04.2008 - 19.05.2008
FH Hörsaal 3 - MATH
SCHMOCK
Mon
16:00 - 17:45
26.05.2008
FH 8 Nöbauer HS - MATH
SCHMOCK
Mon
16:00 - 17:45
02.06.2008 - 23.06.2008
FH Hörsaal 3 - MATH
SCHMOCK
Show single appointments
Mathematical Finance: Discrete-Time Models - Single appointments
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2
3
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Day
Date
Time
Location
Description
Mon
03.03.2008
16:00 - 18:00
FH Hörsaal 2
SCHMOCK
Tue
04.03.2008
10:00 - 12:00
FH Hörsaal 7 - GEO
SCHMOCK
Mon
10.03.2008
16:00 - 17:45
FH Hörsaal 3 - MATH
SCHMOCK
Mon
10.03.2008
16:00 - 18:00
FH Hörsaal 2
SCHMOCK
Tue
11.03.2008
10:00 - 12:00
FH Hörsaal 7 - GEO
SCHMOCK
Mon
17.03.2008
16:00 - 18:00
FH Hörsaal 2
SCHMOCK
Tue
18.03.2008
10:00 - 12:00
FH Hörsaal 7 - GEO
SCHMOCK
Mon
24.03.2008
16:00 - 18:00
FH Hörsaal 2
SCHMOCK
Tue
25.03.2008
10:00 - 12:00
FH Hörsaal 7 - GEO
SCHMOCK
Mon
31.03.2008
16:00 - 17:45
FH Hörsaal 3 - MATH
SCHMOCK
Mon
31.03.2008
16:00 - 18:00
FH Hörsaal 2
SCHMOCK
Tue
01.04.2008
10:00 - 12:00
FH Hörsaal 7 - GEO
SCHMOCK
Mon
07.04.2008
16:00 - 17:45
FH Hörsaal 3 - MATH
SCHMOCK
Mon
07.04.2008
16:00 - 18:00
FH Hörsaal 2
SCHMOCK
Tue
08.04.2008
10:00 - 12:00
FH Hörsaal 7 - GEO
SCHMOCK
Mon
14.04.2008
16:00 - 17:45
GM 3 Vortmann Hörsaal
SCHMOCK
Mon
14.04.2008
16:00 - 18:00
FH Hörsaal 2
SCHMOCK
Tue
15.04.2008
10:00 - 12:00
FH Hörsaal 7 - GEO
SCHMOCK
Mon
21.04.2008
16:00 - 17:45
FH Hörsaal 3 - MATH
SCHMOCK
Mon
21.04.2008
16:00 - 18:00
FH Hörsaal 2
SCHMOCK
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2
3
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Examination modalities
Oral examination Active participation in the exercises
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" Daniel Lamberton, Bernard Lapeyre: "Stochastic Calculus Applied to Finance"0 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
