# 105.131 Mathematical Finance 2: Continuous-Time Models This course is in all assigned curricula part of the STEOP.\$(function(){PrimeFaces.cw("Tooltip","widget_j_id_21",{id:"j_id_21",showEffect:"fade",hideEffect:"fade",target:"isAllSteop"});});This course is in at least 1 assigned curriculum part of the STEOP.\$(function(){PrimeFaces.cw("Tooltip","widget_j_id_23",{id:"j_id_23",showEffect:"fade",hideEffect:"fade",target:"isAnySteop"});}); 2024S 2023S 2022S 2021S 2020S 2019S 2018S 2017S 2016S 2015S 2014S 2013S 2012S 2011S 2010S 2009S

2015S, UE, 2.0h, 3.5EC

## Properties

• Semester hours: 2.0
• Credits: 3.5
• 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

• Blümmel, Tilmann

## Course dates

DayTimeDateLocationDescription
Thu11:30 - 13:3012.03.2015 - 26.03.2015FH Hörsaal 7 - GEO .
Mathematical Finance 2: Continuous-Time Models - Single appointments
DayDateTimeLocationDescription
Thu12.03.201511:30 - 13:30FH Hörsaal 7 - GEO .
Thu19.03.201511:30 - 13:30FH Hörsaal 7 - GEO .
Thu26.03.201511:30 - 13:30FH Hörsaal 7 - GEO .

## Examination modalities

Exercises are to be prepared and presented.

## Exams

DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Thu - 27.06.2024assessedno application-Benotung zu Semesterende (2024S)

## Group dates

GroupDayTimeDateLocationDescription
Gruppe AThu10:00 - 11:3016.04.2015 - 25.06.2015Sem.R. DA grün 05 105.131 Mathematical Finance 2: Continuous-Time Models Gruppe A
Gruppe BThu11:30 - 13:3016.04.2015 - 25.06.2015FH Hörsaal 7 - GEO 105.131 Mathematical Finance 2: Continuous-Time Models Gruppe B

## Course registration

Begin End Deregistration end
31.01.2015 00:00 11.03.2015 23:59 29.03.2015 23:59

## Group Registration

GroupRegistration FromTo
Gruppe A23.03.2015 00:0026.03.2015 11:00
Gruppe B23.03.2015 00:0026.03.2015 11:00

## Literature

No lecture notes are available.

## Miscellaneous

• Attendance Required!

German