Finanzmathematik in diskreter Zeit (Winter Semester 2012/13)
- Classes: Lecture (0108400), Problem class (0108500)
- Weekly hours: 4+2
|Lecture:||Wednesday 8:00-9:30||Bauingenieure, Kleiner Hörsaal|
|Thursday 14:00-15:30||HS 93|
|Problem class:||Friday 14:00-15:30||Chemie-Hörsaal II|
- 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
You should command a sound knowledge of topics covered by the lectures 'Einführung in die Stochastik' (Introduction to Stochastics) and 'Wahrscheinlichkeitstheorie' (Probability Theory).
A problem sheet is to appear weekly. No hand-in, no marking; problems are discussed in next week's problem class. The sheets will be available for download at this lecture's workspace at the Student Portal. The passphrase will be announced in the lecture and problem class.
The exam is scheduled for the end of the semester during the lecture-free time, on Thursday, the 28th of February 2013 at 11 AM in the Benz lecture hall. Admitted are students of all Bachelor of Mathematics programs as well as Master students of all three programs offered by the faculty. Diploma students can participate too (provided a valid permit for 'studienbegleitende Prüfungen').
Additionally, there will be a second exam for people who did not participate in or pass the first one. The date of this exam is not exactly known yet, presumably it will be after the Easter holidays and before the start of the lectures in the summer semester 2013. It is currently scheduled for the 4th of April 2013, but this may still change.
- Bäuerle (2011). Finanzmathematik in diskreter Zeit: Vorlesungsskript (lecture notes). KIT.
- 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