105.057 Financial mathematics

2005S, VO, 4.0h, 6.0EC

Properties

  • Semester hours: 4.0
  • Credits: 6.0
  • Type: VO Lecture

Aim of course

Introduction to Mathematical Finance. Risk management of financial assets.

Subject of course

Brownian motion, Martingales, Ito's Calculus. Application to the theory of pricing and hedging derivative securities. The Black-Scholes formula for option pricing and related issues.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed08:30 - 10:0002.03.2005 - 30.06.2005FH Hörsaal 2 TEICHMANN
Thu14:00 - 15:3003.03.2005 - 30.06.2005FH Hörsaal 2 TEICHMANN
Financial mathematics - Single appointments
DayDateTimeLocationDescription
Wed02.03.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu03.03.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed09.03.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu10.03.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed16.03.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu17.03.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed23.03.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu24.03.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed30.03.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu31.03.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed06.04.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu07.04.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed13.04.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu14.04.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed20.04.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu21.04.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed27.04.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu28.04.200514:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed04.05.200508:30 - 10:00FH Hörsaal 2 TEICHMANN
Thu05.05.200514:00 - 15:30FH Hörsaal 2 TEICHMANN

Examination modalities

written and oral exam

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
No records found.

Literature

Lecture notes for this course are available. Lamberton, Lapeyre: Introduction to Stochastic calculus Applied to Finance. Baxter, Rennie: Financial calculus - An Introduction to Derivative Pricing. Björk: Arbitrage Theory in Continuous Time. Föllmer, Schied: Stochastic Finance - An Introduction in Discrete Time.

Accompanying courses

Language

German