Financial Mathematics (Winter Semester 2007/08)
- Lecturer: Prof. Dr. Nicole Bäuerle
- Classes: Lecture (1080), Problem class (1081)
- Weekly hours: 4+2
| Schedule | ||
|---|---|---|
| Lecture: | Monday 9:45-11:15 | Seminarraum 12 |
| Tuesday 8:00-9:30 | Seminarraum 12 | |
| Problem class: | Wednesday 15:45-17:15 | Seminarraum 12 |
| Lecturers | ||
|---|---|---|
| Lecturer | Prof. Dr. Nicole Bäuerle | |
| Office hours: by appointment. | ||
| Room 2.016 Kollegiengebäude Mathematik (20.30) | ||
| Email: nicole.baeuerle@kit.edu | Problem classes | Anja Blatter |
| Office hours: | ||
| Room Allianz-Gebäude (05.20) | ||
| Email: Anja.Blatter@stoch.uni-karlsruhe.de | ||
Contents
This course covers the fundamental principles and techniques of financial mathematics in discrete- and continuous-time models. Specific topics are
- Cox-Ross-Rubinstein Modell
- Black-Scholes Modell
- American Options
- Interest Rate Theory
- Portfolio Optimisation: Consumption-Investment Strategies, Optimal Portfolios
Prerequisites
Knowledge based on the lecture Stochastics 1.
References
Bingham/Kiesel (1998): Risk-neutral valuation.
Elliott/Kopp (1999): Mathematics of Financial Markets
Irle (1998): Finanzmathematik
Korn/Korn (1999): Optionsbewertung und Portfolio-Optimierung
Rolski/Schmidli/Schmidt/Teugels (1999): Stochastic Processes for
Insurance and Finance
Shreve (2003): Stochastic calculus for finance I.
Shreve (2004): Stochastic calculus for finance II.