105.641 AKFVM Incomplete Financial Market Models in Discrete Time
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2012W, VO, 2.0h, 3.0EC


  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture

Aim of course

Continuation of Mathematical Finance 1 (Discrete-Time Models). Pricing and hedging of derivatives that do not admit a unique arbitrage-free price.

Subject of course

Realistic models of financial markets are typically incomplete, and the interval of arbitrage-free prices of a non-replicable claim is usually to large for practical purposes. For this case, several approaches to pricing and hedging are presented: Super-hedging, super-hedging with options, quantile hedging, hedging with convex risk measures, minimal martingale measures, variance optimal hedging.



Course dates

Thu13:00 - 15:0004.10.2012Sem.R. DA grün 06A Vorlesungsbeginn
Thu13:00 - 15:0011.10.2012 - 24.01.2013Sem.R. DA grün 06A .
Thu13:00 - 15:0031.01.2013Sem.R. DA grün 06A .
AKFVM Incomplete Financial Market Models in Discrete Time - Single appointments
Thu04.10.201213:00 - 15:00Sem.R. DA grün 06A Vorlesungsbeginn
Thu11.10.201213:00 - 15:00Sem.R. DA grün 06A .
Thu08.11.201213:00 - 15:00Sem.R. DA grün 06A .
Thu22.11.201213:00 - 15:00Sem.R. DA grün 06A .
Thu29.11.201213:00 - 15:00Sem.R. DA grün 06A .
Thu06.12.201213:00 - 15:00Sem.R. DA grün 06A .
Thu13.12.201213:00 - 15:00Sem.R. DA grün 06A .
Thu20.12.201213:00 - 15:00Sem.R. DA grün 06A .
Thu10.01.201313:00 - 15:00Sem.R. DA grün 06A .
Thu17.01.201313:00 - 15:00Sem.R. DA grün 06A .
Thu24.01.201313:00 - 15:00Sem.R. DA grün 06A .
Thu31.01.201313:00 - 15:00Sem.R. DA grün 06A .

Course registration

Not necessary



No lecture notes are available.