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105.057
Financial mathematics
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2005S
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
Teichmann, Josef
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Wed
08:30 - 10:00
02.03.2005 - 30.06.2005
FH Hörsaal 2
TEICHMANN
Thu
14:00 - 15:30
03.03.2005 - 30.06.2005
FH Hörsaal 2
TEICHMANN
Show single appointments
Financial mathematics - Single appointments
F
P
1
2
N
E
Day
Date
Time
Location
Description
Wed
02.03.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
03.03.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
09.03.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
10.03.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
16.03.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
17.03.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
23.03.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
24.03.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
30.03.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
31.03.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
06.04.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
07.04.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
13.04.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
14.04.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
20.04.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
21.04.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
27.04.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
28.04.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
Wed
04.05.2005
08:30 - 10:00
FH Hörsaal 2
TEICHMANN
Thu
05.05.2005
14:00 - 15:30
FH Hörsaal 2
TEICHMANN
F
P
1
2
N
E
Examination modalities
written and oral exam
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
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
105.065 UE Financial mathematics
Language
German