# 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_1y",{id:"j_id_1y",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_20",{id:"j_id_20",showEffect:"fade",hideEffect:"fade",target:"isAnySteop"});});

2019S, 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.

## Course dates

DayTimeDateLocationDescription
Thu11:00 - 14:0021.03.2019 - 27.06.2019FH Hörsaal 7 .
Thu11:00 - 12:3009.05.2019Hörsaal 12 .
Thu12:30 - 14:0009.05.2019Sem.R. DB gelb 07 .
Mathematical Finance 2: Continuous-Time Models - Single appointments
DayDateTimeLocationDescription
Thu21.03.201911:00 - 14:00FH Hörsaal 7 .
Thu28.03.201911:00 - 14:00FH Hörsaal 7 .
Thu04.04.201911:00 - 14:00FH Hörsaal 7 .
Thu11.04.201911:00 - 14:00FH Hörsaal 7 .
Thu02.05.201911:00 - 14:00FH Hörsaal 7 .
Thu09.05.201911:00 - 12:30Hörsaal 12 .
Thu09.05.201911:00 - 14:00FH Hörsaal 7 .
Thu09.05.201912:30 - 14:00Sem.R. DB gelb 07 .
Thu16.05.201911:00 - 14:00FH Hörsaal 7 .
Thu23.05.201911:00 - 14:00FH Hörsaal 7 .
Thu06.06.201911:00 - 14:00FH Hörsaal 7 .
Thu27.06.201911:00 - 14:00FH Hörsaal 7 .

## Examination modalities

Exercises are to be prepared and presented.

## Exams

DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Thu - 25.06.2020assessedno application-Benotung zu Semesterende (2020S)

## Course registration

Begin End Deregistration end
02.02.2019 00:00 13.03.2019 23:59 31.03.2019 23:59

## Literature

No lecture notes are available.

## Miscellaneous

• Attendance Required!

## Language

if required in English