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105.065
Financial mathematics
2008S
2007S
2006S
2005S
2006S, UE, 2.0h, 2.0EC
Properties
Semester hours: 2.0
Credits: 2.0
Type: UE Exercise
Aim of course
Lear to solve and present concrete exercises related to the above mentioned topics, get accquainted with the material of the course by doing.
Subject of course
Traditional exercises accompagning the lecture. Exercises illustrate and extend the material of the course. We try to solve exercises related to the following topics: Recaptiulating some probability theory, Forwards, Futures, and Options, Trading strategies, Arbitrage (Fundamental Theorem of Asset Pricing) Put-call parity, option price range, binomial model (Cox-Ross-Rubinstein) and extensions, option pricing, risk neutral evaluation, replicating trading strategies, Brownian motion (Wiener process), martingales, Ito's formula, change of measure (Girsanov's theorem), Black-Scholes equation, simple stochastic differential equations, implicit volatility, greeks.
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
08.03.2006 - 30.06.2006
Sem.R. DA grün 06A
TEICHMANN
Show single appointments
Financial mathematics - Single appointments
F
P
1
N
E
Day
Date
Time
Location
Description
Wed
08.03.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
15.03.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
22.03.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
29.03.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
05.04.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
12.04.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
19.04.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
26.04.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
03.05.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
10.05.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
17.05.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
24.05.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
31.05.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
07.06.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
14.06.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
21.06.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
Wed
28.06.2006
08:30 - 10:00
Sem.R. DA grün 06A
TEICHMANN
F
P
1
N
E
Examination modalities
Exercises are to be prepared and presented on a voluntary basis. If participation is unsatisfactory two written tests (did not happen so far).
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
No lecture notes are available.
Accompanying courses
105.057 VO Mathematical Finance 2: Continuous-Time Models
Language
German