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.

2015S, 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

  • Eisenberg, Paul

Institute

Course dates

DayTimeDateLocationDescription
Wed14:30 - 16:0004.03.2015 - 24.06.2015FH Hörsaal 3 - MATH .
Thu14:00 - 16:0005.03.2015 - 25.06.2015FH Hörsaal 3 - MATH .
Thu14:00 - 16:0016.04.2015FH Hörsaal 5 - TPH Ersatzhörsaal aufgrund der Jobmesse TUday15
Mathematical Finance 1: Discrete-Time Models - Single appointments
DayDateTimeLocationDescription
Wed04.03.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu05.03.201514:00 - 16:00FH Hörsaal 3 - MATH .
Wed11.03.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu12.03.201514:00 - 16:00FH Hörsaal 3 - MATH .
Wed18.03.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu19.03.201514:00 - 16:00FH Hörsaal 3 - MATH .
Wed25.03.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu26.03.201514:00 - 16:00FH Hörsaal 3 - MATH .
Wed15.04.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu16.04.201514:00 - 16:00FH Hörsaal 5 - TPH Ersatzhörsaal aufgrund der Jobmesse TUday15
Wed22.04.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu23.04.201514:00 - 16:00FH Hörsaal 3 - MATH .
Wed29.04.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu30.04.201514:00 - 16:00FH Hörsaal 3 - MATH .
Wed06.05.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu07.05.201514:00 - 16:00FH Hörsaal 3 - MATH .
Wed13.05.201514:30 - 16:00FH Hörsaal 3 - MATH .
Wed27.05.201514:30 - 16:00FH Hörsaal 3 - MATH .
Thu28.05.201514:00 - 16:00FH Hörsaal 3 - MATH .
Wed03.06.201514:30 - 16:00FH Hörsaal 3 - MATH .

Exams

DayTimeDateRoomMode of examinationApplication timeApplication modeExam
Fri11:00 - 14:0021.06.2024FH Hörsaal 1 - MWB written01.04.2024 00:00 - 14.06.2024 23:59TISSPrüfung 2024S
Mon12:00 - 15:0030.09.2024FH Hörsaal 1 - MWB written01.01.2024 00:00 - 23.09.2024 23:59TISSPrüfung 2024S (Nebentermin)

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
033 205 Financial and Actuarial Mathematics Mandatory4. Semester
066 405 Financial and Actuarial Mathematics Mandatory elective
860 GW Optional Courses - Technical Mathematics Not specified

Literature

No lecture notes are available.

Accompanying courses

Language

German