105.057 Financial mathematics

2007S, 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 - 15:3001.03.2007 - 29.06.2007FH Hörsaal 2 TEICHMANN
Wed08:30 - 10:0007.03.2007 - 29.06.2007FH Hörsaal 7 - GEO SCHACHERMAYER
Financial mathematics - Single appointments
DayDateTimeLocationDescription
Thu01.03.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed07.03.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu08.03.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed14.03.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu15.03.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed21.03.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu22.03.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed28.03.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu29.03.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed04.04.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu05.04.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed11.04.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu12.04.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed18.04.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu19.04.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed25.04.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu26.04.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed02.05.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER
Thu03.05.200714:00 - 15:30FH Hörsaal 2 TEICHMANN
Wed09.05.200708:30 - 10:00FH Hörsaal 7 - GEO SCHACHERMAYER

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