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.

2010S, 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

Hubalek, Friedrich

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Thu	14:30 - 16:00	25.03.2010	EI 7 Hörsaal - ETIT	HUBALEK
Thu	14:30 - 16:00	29.04.2010	EI 11 Geodäsie HS - GEO	HUBALEK
Thu	14:30 - 16:00	06.05.2010	FH Hörsaal 3 - MATH	HUBALEK
Thu	15:00 - 16:30	20.05.2010	GM 1 Audi. Max.- ARCH-INF	HUBALEK
Thu	14:30 - 17:00	24.06.2010	FH Hörsaal 6 - TPH	HUBALEK

Examination modalities

Three written tests (1st on 03/25/2010, 2nd on 05/20/2010, 3rd on 06/24/2010, open book) plus an optional oral exam covering the whole course material at the end. You can obtain for each test up to 5 points, the oral exam yields -5 to +5 points.

Group dates

Group	Day	Time	Date	Location	Description
F1	Wed	14:30 - 16:00	03.03.2010 - 30.06.2010	FH Hörsaal 3 - MATH	HUBALEK
F1	Thu	14:30 - 16:00	27.05.2010 - 17.06.2010	FH Hörsaal 3 - MATH	HUBALEK

Course registration

Not necessary

Group Registration

Group	Registration From	To
F1	25.02.2010 00:00	11.03.2010 23:59

Curricula

Study Code	Obligation	Semester
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"

Continuative courses

Language

German