# 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

2024S, UE, 2.0h, 3.5EC

## 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, 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

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

## Course dates

DayTimeDateLocationDescription
Thu12:00 - 14:0021.03.2024 - 20.06.2024FH Hörsaal 4 .
Mathematical Finance 2: Continuous-Time Models - Single appointments
DayDateTimeLocationDescription
Thu21.03.202412:00 - 14:00FH Hörsaal 4 .
Thu11.04.202412:00 - 14:00FH Hörsaal 4 .
Thu18.04.202412:00 - 14:00FH Hörsaal 4 .
Thu25.04.202412:00 - 14:00FH Hörsaal 4 .
Thu16.05.202412:00 - 14:00FH Hörsaal 4 .
Thu23.05.202412:00 - 14:00FH Hörsaal 4 .
Thu06.06.202412:00 - 14:00FH Hörsaal 4 .
Thu13.06.202412:00 - 14:00FH Hörsaal 4 .
Thu20.06.202412:00 - 14:00FH Hörsaal 4 .

## Examination modalities

Number of exercises solved, presentation

## Exams

DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Thu - 26.06.2025assessedno application-Benotung zu Semesterende (2025S)

## Course registration

Begin End Deregistration end
06.01.2024 00:00 13.03.2024 23:59 04.04.2024 23:59

## Curricula

Study CodeObligationSemesterPrecon.Info
066 405 Financial and Actuarial Mathematics Mandatory
860 GW Optional Courses - Technical Mathematics Not specified

## Literature

No lecture notes are available.

## Miscellaneous

• Attendance Required!

English