A gentle introduction to mathematical finance: The mathematical theory of arbitrage, pricing and hedging of derivative securities in a discrete, elementary setting.
The one-period model (Arbitrage, risk neutral measure, pricing, complete markets, optimal portfolios) The multiperiod model (self-financing portfolios, Dalang/Morton/Willinger theorem) The Binomial Model, distribution of the maximum, Taking limits in the Binomial Model, Black-Scholes Model, American Options, Snell envelope, Doob decomposition
Written and oral examination.More information on: https://fam.tuwien.ac.at/lehre/pr/
Not necessary
