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.

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.

Lecturers

Institute

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

Curricula

Literature

No lecture notes are available.

Accompanying courses

Miscellaneous

  • Attendance Required!

Language

if required in English