105.594 Mathematical Finance 1: Discrete-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.

2013S, VO, 4.0h, 6.0EC

Properties

  • Semester hours: 4.0
  • Credits: 6.0
  • Type: VO Lecture

Aim of course

A gentle introduction to mathematical finance: The mathematical theory of arbitrage, pricing and hedging of derivative securities in a discrete, elementary setting.

Subject of course

The one-period model (Arbitrage, risk neutral measure, pricing, complete markets, optimal portfolios) The multiperiod model (self-financing portfolios, duality, Dalang/Morton/Willinger theorem) The Binomial Model, Cox-Ross-Rubinstein Model, distribution of the maximum Markov Models Taking limits in the Binomial Model, Black-Scholes Model American Options, Snell envelope, Doob decomposition Optimal portfolios

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed14:30 - 16:0006.03.2013 - 19.06.2013FH Hörsaal 3 - MATH .
Thu14:00 - 16:0007.03.2013 - 20.06.2013FH Hörsaal 3 - MATH .
Wed14:30 - 16:0017.04.2013FH Hörsaal 7 - GEO Ersatzhörsaal wegen Jobmesse TUday13
Mathematical Finance 1: Discrete-Time Models - Single appointments
DayDateTimeLocationDescription
Wed06.03.201314:30 - 16:00FH Hörsaal 3 - MATH .
Thu07.03.201314:00 - 16:00FH Hörsaal 3 - MATH .
Wed13.03.201314:30 - 16:00FH Hörsaal 3 - MATH .
Thu14.03.201314:00 - 16:00FH Hörsaal 3 - MATH .
Wed20.03.201314:30 - 16:00FH Hörsaal 3 - MATH .
Thu21.03.201314:00 - 16:00FH Hörsaal 3 - MATH .
Wed10.04.201314:30 - 16:00FH Hörsaal 3 - MATH .
Thu11.04.201314:00 - 16:00FH Hörsaal 3 - MATH .
Wed17.04.201314:30 - 16:00FH Hörsaal 3 - MATH Vorlesung wegen Jobmesse TUday13 im FH7
Wed17.04.201314:30 - 16:00FH Hörsaal 7 - GEO Ersatzhörsaal wegen Jobmesse TUday13
Thu18.04.201314:00 - 16:00FH Hörsaal 3 - MATH .
Wed24.04.201314:30 - 16:00FH Hörsaal 3 - MATH .
Thu25.04.201314:00 - 16:00FH Hörsaal 3 - MATH .
Thu02.05.201314:00 - 16:00FH Hörsaal 3 - MATH .
Wed08.05.201314:30 - 16:00FH Hörsaal 3 - MATH .
Wed15.05.201314:30 - 16:00FH Hörsaal 3 - MATH .
Wed22.05.201314:30 - 16:00FH Hörsaal 3 - MATH .
Thu23.05.201314:00 - 16:00FH Hörsaal 3 - MATH .
Wed29.05.201314:30 - 16:00FH Hörsaal 3 - MATH .
Wed05.06.201314:30 - 16:00FH Hörsaal 3 - MATH .

Course registration

Not necessary

Curricula

Literature

Hans Föllmer, Alexander Schied: Stochastic Finance. An Introduction in Discrete Time. De Gruyter, 3rd ed., 2011, ISBN: 978-3110218046.

Accompanying courses

Language

German