040648 FK KFK FD: Financial Services (Applications) (2014S)
Continuous assessment of course work
Labels
Vorbesprechung und Beginn: Montag, 3. März 2014, 17:00 - 19:30, PC Seminarraum 5, Oskar Morgenstern-Platz 1, 1. Untergeschoß
Midterm: Montag, 7. April 2014, 17:00 - 19:00, PC Seminarraum 5, Oskar Morgenstern-Platz 1, 1. Untergeschoß.
Klausur: Montag, 19. Mai 2014, 17:00 - 19:00, PC Seminarraum 7, Oskar Morgenstern-Platz 1, 3. Stock.
Midterm: Montag, 7. April 2014, 17:00 - 19:00, PC Seminarraum 5, Oskar Morgenstern-Platz 1, 1. Untergeschoß.
Klausur: Montag, 19. Mai 2014, 17:00 - 19:00, PC Seminarraum 7, Oskar Morgenstern-Platz 1, 3. Stock.
Registration/Deregistration
Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
- Registration is open from Mo 17.02.2014 09:00 to Tu 25.02.2014 16:00
- Deregistration possible until Fr 14.03.2014 23:59
Details
max. 50 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
Monday
03.03.
17:00 - 19:30
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Wednesday
05.03.
17:00 - 19:35
PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Friday
07.03.
17:00 - 19:30
PC-Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Friday
14.03.
17:00 - 19:30
PC-Seminarraum 2 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday
07.04.
17:00 - 19:00
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Monday
05.05.
17:00 - 19:30
PC-Seminarraum 7 Oskar-Morgenstern-Platz 1 3.Stock
Friday
09.05.
17:00 - 19:30
PC-Seminarraum 1 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Friday
16.05.
17:00 - 19:30
PC-Seminarraum 7 Oskar-Morgenstern-Platz 1 3.Stock
Friday
23.05.
16:30 - 19:00
PC-Seminarraum 7 Oskar-Morgenstern-Platz 1 3.Stock
Information
Aims, contents and method of the course
Introduction to programming, Random Number and Random Variables Generation, Martingale measure, Arbitrage free pricing, Stopping times, Brownian Motion, Geometric Brownian Motion, Short Rate Models, Forward Rate Models, Equity Models, Calibration of Models, Optimization Methods, Greeks (finance), Derivatives Pricing
Assessment and permitted materials
Homework, Presentation, Project, Final exam
Minimum requirements and assessment criteria
Understanding of derivatives pricing
Implementation by programming
Implementation by programming
Examination topics
Lecture, Experiential learning, Discussion, Problem Sets, Reciprocal teaching, Study group
Reading list
Stefan Ebenfeld: Grundlagen der Finanzmathematik
Paul Glasserman: Monte Carlo Methods in Financial Engineering
Course materials
Paul Glasserman: Monte Carlo Methods in Financial Engineering
Course materials
Association in the course directory
Last modified: Mo 07.09.2020 15:29