105.057 Financial mathematics

2008S, 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 - 10:0005.03.2008 - 30.06.2008FH Hörsaal 3 - MATH SCHACHERMAYER
Thu14:00 - 15:3006.03.2008 - 30.06.2008FH Hörsaal 2 SCHACHERMAYER
Thu14:00 - 15:3017.04.2008 EI 11 (Gusshausstr. 27-29, Neues EI, Stiege I, 3. Stock), Ausweichtermin, da im Freihaus eine Veranstaltung ist.
Financial mathematics - Single appointments
DayDateTimeLocationDescription
Wed05.03.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu06.03.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed12.03.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu13.03.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed19.03.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu20.03.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed26.03.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu27.03.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed02.04.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu03.04.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed09.04.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu10.04.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed16.04.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu17.04.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Thu17.04.200814:00 - 15:30 EI 11 (Gusshausstr. 27-29, Neues EI, Stiege I, 3. Stock), Ausweichtermin, da im Freihaus eine Veranstaltung ist.
Wed23.04.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu24.04.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed30.04.200808:30 - 10:00FH Hörsaal 3 - MATH SCHACHERMAYER
Thu01.05.200814:00 - 15:30FH Hörsaal 2 SCHACHERMAYER
Wed07.05.200808:30 - 10:00FH Hörsaal 3 - MATH 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