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Finanzmathematik in diskreter Zeit (Winter Semester 2013/14)

Schedule
Lecture: Tuesday 8:00-9:30 HS 93 Begin: 22.10.2013, End: 12.2.2013
Wednesday 8:00-9:30 Bauingenieure, Kleiner Hörsaal
Problem class: Friday 14:00-15:30 Chemie-Hörsaal II Begin: 25.10.2013, End: 14.2.2013
Lecturers
Lecturer, Lecturer, Problem classes Prof. Dr. Nicole Bäuerle
Office hours: by appointment.
Room 2.016 Kollegiengebäude Mathematik (20.30)
Email: nicole.baeuerle@kit.edu
Problem classes Stefanie Grether
Office hours:
Room Allianz-Gebäude (05.20)
Email: stefanie.grether@kit.edu

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 at the Student Portal. The passphrase will be announced in lecture and problem class.

Examination

Written exam at the end of the lecture.

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