!!!!The time of lecture and exercise course have changed!!!!
First lecture: 20/10/2016; Thursday 12.15-14, H3
|Time and Venue:|
Lecture: Thursday, 12.15-14, H3; Friday 10.15 -12, H12
First Lecture: 20/10/2016;
Exercise Course: Tuesday, 14.15-16, H3;
First Exercise Classes: 25/10/2016;
Tutorial (only MSc Finance students): Friday, 14-16, He120
First tutorial: 28/10/2016.
Rooms for the exam on Tuesday, 28. February:
Those of you, who just write the normal exam, go to room H22.
Those of you, who write the exam for the DAV certificate, go to room H4/5.
written and closed (that means, that you have to write the exam at the first date and only if you fail, you can write the retake.)
First date: 28.02.2017
Retake: 05.04.2017 (no possibility to get the DAV certificate)
Prerequisite: 50% of exercise points.
Analysis I+II; Lineare Algebra I+II; Stochastik I; Elementary Probability, Statistics and Measure Theory or Introduction to Measure Theoretic Probability (can be attended in the same winter term, beginning on 05/10/2015).
This course covers the fundamental principles and techniques of financial mathematics in discrete- and continuous-time models. Specific topics are
- Financial market models in discrete time: arbitrage freeness and completeness
- Conditional expectation and discrete time martingales
- Valuation of European, American and path-dependent options
- Foundations of continuous time market models and of the Black-Scholes
- Interest rate models and derivatives
- Risk measures
- Portfolio optimisation and CAPM
- Baxter, M.; Rennie, A.: Financial Calculus: An introduction to derivative pricing. (Cambridge University Press), 1996.
- N.H.Bingham & R.Kiesel, Risk Neutral Valuation (2nd edition), Springer 2004.
- Björk, T.: Arbitrage theory in continuous time. (Oxford University Press,
Oxford) 2.edn. 2003.
- H. Föllmer & A. Schied, Stochastic Finance: An introduction in discrete time, de Gruyter, 2004.
- Korn, R.; Korn, E.: Option Pricing and Portfolio Optimization. (American Mathematical Society, Providence), 2001.
- Musiela, M.; M. Rutkowski: Martingale methods in financial modelling. (Springer, New York), 2nd ed. 2004.
- S. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, 2004.
- S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004.