105.057 Financial mathematics

2006S, 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
Thu14:00 - 15:3002.03.2006 - 29.06.2006FH Hörsaal 2 TEICHMANN
Wed10:15 - 11:4508.03.2006 - 30.06.2006FH Hörsaal 2 TEICHMANN
Financial mathematics - Single appointments
DayDateTimeLocationDescription
Thu02.03.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed08.03.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu09.03.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed15.03.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu16.03.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed22.03.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu23.03.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed29.03.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu30.03.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed05.04.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu06.04.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed12.04.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu13.04.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed19.04.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu20.04.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed26.04.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu27.04.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed03.05.200610:15 - 11:45FH Hörsaal 2 TEICHMANN
Thu04.05.200614:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed10.05.200610:15 - 11:45FH 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