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Financial Mathematics (Winter Semester 2006/07)

Schedule
Lecture: Tuesday 8:00-9:30 Seminarraum 31
Wednesday 8:00-9:30 Seminarraum 31
Problem class: Wednesday 15:45-17:15 Seminarraum 33

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.