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.

2015S, UE, 2.0h, 3.5EC


  • 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.


  • Blümmel, Tilmann


Course dates

Thu11:30 - 13:3012.03.2015 - 26.03.2015FH Hörsaal 7 - GEO .
Mathematical Finance 2: Continuous-Time Models - Single appointments
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.


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

Group dates

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



No lecture notes are available.

Accompanying courses


  • Attendance Required!