250002 VO Financial mathematics (2011S)
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Details
Language: English
Examination dates
Wednesday
22.06.2011
Friday
22.07.2011
Monday
01.08.2011
Tuesday
25.10.2011
Wednesday
29.02.2012
Thursday
29.03.2012
Monday
12.11.2012
Lecturers
Classes (iCal) - next class is marked with N
Wednesday
09.03.
15:00 - 17:00
Seminarraum
Thursday
10.03.
15:00 - 16:00
Seminarraum
Wednesday
16.03.
15:00 - 17:00
Seminarraum
Thursday
17.03.
15:00 - 16:00
Seminarraum
Wednesday
23.03.
15:00 - 17:00
Seminarraum
Thursday
24.03.
15:00 - 16:00
Seminarraum
Wednesday
30.03.
15:00 - 17:00
Seminarraum
Thursday
31.03.
15:00 - 16:00
Seminarraum
Wednesday
06.04.
15:00 - 17:00
Seminarraum
Thursday
07.04.
15:00 - 16:00
Seminarraum
Wednesday
13.04.
15:00 - 17:00
Seminarraum
Thursday
14.04.
15:00 - 16:00
Seminarraum
Wednesday
04.05.
15:00 - 17:00
Seminarraum
Thursday
05.05.
15:00 - 16:00
Seminarraum
Wednesday
11.05.
15:00 - 17:00
Seminarraum
Thursday
12.05.
15:00 - 16:00
Seminarraum
Wednesday
18.05.
15:00 - 17:00
Seminarraum
Thursday
19.05.
15:00 - 16:00
Seminarraum
Wednesday
25.05.
15:00 - 17:00
Seminarraum
Thursday
26.05.
15:00 - 16:00
Seminarraum
Wednesday
01.06.
15:00 - 17:00
Seminarraum
Wednesday
08.06.
15:00 - 17:00
Seminarraum
Thursday
09.06.
15:00 - 16:00
Seminarraum
Wednesday
15.06.
15:00 - 17:00
Seminarraum
Thursday
16.06.
15:00 - 16:00
Seminarraum
Wednesday
22.06.
15:00 - 17:00
Seminarraum
Wednesday
29.06.
15:00 - 17:00
Seminarraum
Thursday
30.06.
15:00 - 16:00
Seminarraum
Information
Aims, contents and method of the course
The lecture on Financial Mathematics: Continuous-Time Models, gives an introduction to modern tools in financial mathematics. Based on the introductory lecture on probability theory, namely the lecture "Wahrscheinlichkeitstheorie und Statistik", the Brownian motion as the essential stochastic process for continuous modeling of financial assets, is introduced. Basic knowledge on stochastic calculus, such that the stochastic integral with respect to the Brownian motion and Itô's formula, will be provided as well. The famous Black-Scholes model for the stock price will be introduced and the Black-Scholes formula for option prices will be discussed in detail. We will also discuss various sensitivity parameters of the prices, namely the so-called Greeks. Further we will touch on different aspects of asset pricing, such that risk-neutral measures, the fundamental theorem of option prices, a connection to partial differential equations, or exotic options.
Assessment and permitted materials
Minimum requirements and assessment criteria
Examination topics
Reading list
Association in the course directory
MSTV, MAMV
Last modified: Mo 07.09.2020 15:40