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105.057
Financial mathematics
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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
Schachermayer, Walter
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Wed
08:30 - 10:00
05.03.2008 - 30.06.2008
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
14:00 - 15:30
06.03.2008 - 30.06.2008
FH Hörsaal 2
SCHACHERMAYER
Thu
14:00 - 15:30
17.04.2008
EI 11 (Gusshausstr. 27-29, Neues EI, Stiege I, 3. Stock), Ausweichtermin, da im Freihaus eine Veranstaltung ist.
Show single appointments
Financial mathematics - Single appointments
F
P
1
2
N
E
Day
Date
Time
Location
Description
Wed
05.03.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
06.03.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
12.03.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
13.03.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
19.03.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
20.03.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
26.03.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
27.03.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
02.04.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
03.04.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
09.04.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
10.04.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
16.04.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
17.04.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Thu
17.04.2008
14:00 - 15:30
EI 11 (Gusshausstr. 27-29, Neues EI, Stiege I, 3. Stock), Ausweichtermin, da im Freihaus eine Veranstaltung ist.
Wed
23.04.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
24.04.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
30.04.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
Thu
01.05.2008
14:00 - 15:30
FH Hörsaal 2
SCHACHERMAYER
Wed
07.05.2008
08:30 - 10:00
FH Hörsaal 3 - MATH
SCHACHERMAYER
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