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Institute of Stochastics

Secretariat
Kollegiengebäude Mathematik (20.30)
Room 2.056 und 2.002

Address
Karlsruher Institut für Technologie
Institut für Stochastik

Englerstr. 2
D-76131 Karlsruhe

Postadresse:
D-76128 Karlsruhe

Office hours:
Mo-Fr 10:00 - 12:00

Tel.: +49 721 608 43270/43265

Fax.: +49 721 608 46066

Financial mathematics in discrete time (Winter Semester 2011/12)

Lecturer: Prof. Dr. Nicole Bäuerle
Classes: Lecture (0108400), Problem class (0108500)
Weekly hours: 4+2


NEWS

10.2.2012, 14:00 - 16:00

News: Marking is complete. From 28 March results are online in Qispos (Bachelor) or, resp., on display at the instute bill-board (Diploma).

Marked exams may be reviewed on 19 April, 1-2 p.m. at Allianz 5A-09 (Funktionsraum). In case you are indisposed, please mandate a representative or contact us.

You are allowed to bring a non-programmable calculator to the examination (no further aids admitted).

You may by now enroll in the Bachelor / 'studienbegleitend' examination. Use the Studierendenportal to access QISPOS. Registration ends 20 March 2012.

Please note that lecture, problem classes and examinations are in German.

Schedule
Lecture: Tuesday 8:00-9:30 AOC 101
Wednesday 8:00-9:30 Bauingenieure, Kleiner Hörsaal
Problem class: Friday 14:00-15:30 Chemie-Hörsaal II
Lecturers
Lecturer Prof. Dr. Nicole Bäuerle
Office hours: by appointment
Room 2.016 Kollegiengebäude Mathematik (20.30)
Email: nicole.baeuerle@kit.edu
Problem classes Dr. Sebastian Urban
Office hours: keine
Room Allianz-Gebäude (05.20)
Email:

Topics

  • Time-discrete stochastic financial markets: No-Arbitrage and completeness. Fundamental Theorem of Asset Pricing.
  • Evaluation of Contingent Claims
  • Classical portfolio theory, measures of risk
  • Stochastic orderings, utility theory
  • Multi-period portfolio optimization

Previous Experience

You should command a sound knowledge of topics covered by the lectures 'Einführung in die Stochastik' (Introduction to Stochastics) and 'Wahrscheinlichkeitstheorie' (Probability Theory).

Problem Class

A problem sheet is to appear weekly. No hand-in, no marking; problems are discussed in next week's problem class. The sheets are available for download in this lecture's workspace at the Student Portal. The passphrase will be announced in lecture and problem class.

Examination

The exam is scheduled for March, 22nd 2012, 2-4 pm, Redtenbacher lecture hall (building nr 10.91). Admitted are students of all Bachelor of Mathematics programs as well as Diploma students (provided a valid permit for 'studienbegleitende Prüfungen').

References

  • Bingham & Kiesel (2004). Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives. Springer.
  • Elliott & Kopp (2005). Mathematics of financial markets. Springer.
  • Föllmer & Schied (2004). Stochastic Finance: An Introduction in Discrete Time. Walter de Gruyter.
  • Irle (2003). Finanzmathematik. Die Bewertung von Derivaten. Teubner.
  • Kremer (2006). Einführung in die diskrete Finanzmathematik. Springer.
  • Shreve (2005). Stochastic Calculus for Finance I. Springer.
  • Williams (2006). Introduction to the mathematics of finance. AMS