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105.054
Mathematical Finance: 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
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2005S
2009S, 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
Kupper, Michael
Hubalek, Friedrich
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Mon
16:00 - 18:00
04.05.2009
FH Hörsaal 6 - TPH
KUPPER
Mon
16:00 - 18:00
29.06.2009
FH Hörsaal 6 - TPH
KUPPER
Examination modalities
Tests und Tafel Die Note wird aus zwei Uebungstests (1.Test am 4.5.2009, 2. Test am 29.6.2009) und einer oder mehreren Tafelmeldungen ermittelt. Pro Test werden bis zu 8 Punkte vergeben, jede erfolgreiche Tafelmeldung bringt 4 Punkte. Bei Bedarf koennen Sie sich am Semesterende durch eine muendliche Pruefung um bis zu 8 Punkte verbessern. Die Note ergibt sich aus folgendem Schluessel: mehr als 18 Punkte sehr gut, 16-18 gut, 13-15 befriedigend, 10-12 genuegend.
Course registration
Not necessary
Group Registration
Group
Registration From
To
1
09.03.2009 00:00
10.06.2009 23:59
Register in a Group
Curricula
Study Code
Obligation
Semester
Precon.
Info
033 205 Financial and Actuarial Mathematics
Mandatory
4. Semester
033 215 Actuarial Mathematics
Mandatory
6. 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
Mandatory
4. Semester
066 403 Mathematics in Economics
Mandatory
4. 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"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