Financial Mathematics (Winter Semester 2006/07)
- Lecturer: Prof. Dr. Nicole Bäuerle
- Classes: Lecture (1080), Problem class (1081)
- Weekly hours: 4+2
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 |
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.