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.

2022S, UE, 2.0h, 3.5EC
TUWEL

Properties

  • Semester hours: 2.0
  • Credits: 3.5
  • Type: UE Exercise
  • Format: Presence

Learning outcomes

After successful completion of the course, students are able to...

Value and hedge financial instruments and portfolios,
solve the pertinent equations,
present solutions of exercises at the black board,
Appraise suggestions and solutions of their peers,
evaluate own achievements critically,
discuss problems and solution attempts with peers and teachers in a constructive spirit

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.

Teaching methods

Black board presentation of prepared exercises

Mode of examination

Immanent

Additional information

This exercise course will be in presence. Only if necessary, we will switch it to Zoom.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Tue14:00 - 14:1508.03.2022 Zoom / siehe TUWEL (LIVE)Vorbesprechung
Thu12:00 - 14:0017.03.2022 - 23.06.2022FH Hörsaal 4 .
Mathematical Finance 2: Continuous-Time Models - Single appointments
DayDateTimeLocationDescription
Tue08.03.202214:00 - 14:15 Zoom / siehe TUWELVorbesprechung
Thu17.03.202212:00 - 14:00FH Hörsaal 4 .
Thu24.03.202212:00 - 14:00FH Hörsaal 4 .
Thu31.03.202212:00 - 14:00FH Hörsaal 4 .
Thu07.04.202212:00 - 14:00FH Hörsaal 4 .
Thu28.04.202212:00 - 14:00FH Hörsaal 4 .
Thu05.05.202212:00 - 14:00FH Hörsaal 4 .
Thu12.05.202212:00 - 14:00FH Hörsaal 4 .
Thu19.05.202212:00 - 14:00FH Hörsaal 4 .
Thu02.06.202212:00 - 14:00FH Hörsaal 4 .
Thu09.06.202212:00 - 14:00FH Hörsaal 4 .
Thu23.06.202212:00 - 14:00FH Hörsaal 4 .

Examination modalities

Number of exercises solved, presentation

Exams

DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Thu - 22.06.2023assessedno application-Benotung zu Semesterende (2023S)

Course registration

Begin End Deregistration end
01.01.2022 00:00 09.03.2022 23:59 31.03.2022 23:59

Curricula

Literature

No lecture notes are available.

Accompanying courses

Miscellaneous

  • Attendance Required!

Language

German