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105.131
Mathematical Finance 2: Continuous-Time Models
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.
2024S
2023S
2022S
2021S
2020S
2019S
2018S
2017S
2016S
2015S
2014S
2013S
2012S
2011S
2010S
2009S
2010S, UE, 2.0h, 3.0EC
Properties
Semester hours: 2.0
Credits: 3.0
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
Gerhold, Stefan
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Examination modalities
Exercises are to be prepared and presented.
Exams
Day
Time
Date
Room
Mode of examination
Application time
Application mode
Exam
Thu
-
27.06.2024
assessed
no application
-
Benotung zu Semesterende (2024S)
Register for an exam
Group dates
Group
Day
Time
Date
Location
Description
F2
Tue
11:00 - 12:00
16.03.2010
Sem.R. DA grün 06A
GERHOLD
F2
Tue
10:00 - 11:30
23.03.2010 - 15.06.2010
Sem.R. DA grün 06A
Gerhold
Course registration
Not necessary
Group Registration
Group
Registration From
To
F2
25.02.2010 00:00
31.03.2010 23:59
Register in a Group
Curricula
Study Code
Obligation
Semester
Precon.
Info
066 400 Mathematics
Mandatory elective
066 401 Statistics
Mandatory elective
066 402 Mathematics in Science and Technology
Mandatory elective
066 403 Mathematics in Economics
Mandatory elective
066 404 Mathematics in Computer Science
Mandatory elective
066 405 Financial and Actuarial Mathematics
Mandatory
2. Semester
066 405 Financial and Actuarial Mathematics
Mandatory
2. Semester
860 Technical Mathematics
Mandatory elective
864 Mathematics for Natural Sciences
Mandatory elective
866 Economic Mathematics
Mandatory elective
867 Statistics
Mandatory elective
869 Mathematics in Computer Science
Mandatory elective
873 Finance and Actuarial Mathematics
Mandatory
873 Finance and Actuarial Mathematics
Mandatory
Literature
No lecture notes are available.
Preceding courses
105.054 VU Mathematical Finance 1: Discrete-Time Models
Accompanying courses
105.057 VO Mathematical Finance 2: Continuous-Time Models
Language
German