040723 UK Financial and Insurance Mathematics (2008W)

3.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften

Continuous assessment of course work

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 01.09.2008 09:00 to Su 21.09.2008 23:59
Registration is open from Fr 26.09.2008 09:00 to Th 15.01.2009 23:59
Deregistration possible until Th 15.01.2009 23:59

Details

max. 50 participants

Language: German

Lecturers

Irene Klein

Classes (iCal) - next class is marked with N

Monday 06.10. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 13.10. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 20.10. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 27.10. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 03.11. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 10.11. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 17.11. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 24.11. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 01.12. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 15.12. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 12.01. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 19.01. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock
Monday 26.01. 14:00 - 16:00 Leopold-Schmetterer-Seminarraum, Universitätsstraße 5, 3.Stock

Information

Aims, contents and method of the course

Ideas of mathematical finance for a finite model of a financial market: pricing by no-arbitrage, martingale measures, Fundamental Theorem of Asset Pricing, Change of Numeraire, Utility maximization;
General models in continuous time: Bachelier, Black-Scholes, more recent models

Assessment and permitted materials

Minimum requirements and assessment criteria

Examination topics

Reading list

F. Delbaen, W. Schachermayer: The Mathematics of Arbitrage;
I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus;
M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling

Association in the course directory

2.1 Economics and Finance

4.03. Statistics ➡ C. Master Programme Statistics (066 951): Curriculum 2006

Last modified: Mo 07.09.2020 15:29