This course covers some elementary topics of the theory dynamic financial markets. It starts with a discussion of the general one-period model, with a particular emphasis on the two fundamental theorems of asset pricing.
We will then move on to a heuristic discussion of stochastic integrals, Itô's formula, stochastic differential equations, infinitesimal generators (in Björk's terminology: infinitesimal operators), partial differential equations, and the Black-Scholes model.
A more rigorous mathematical discussion of stochastic calculus will be given in course no. 311508 Mathematical Methods for Continuous-Time Finance.
T. Björk [2004]: Arbitrage theory in continuous time, 2nd
ed., Oxford: Oxford University Press.
A. Etheridge [2002]: A course in financial calculus, Cambridge: Cambridge University Press.
Rhythmus | Tag | Uhrzeit | Format / Ort | Zeitraum |
---|
Studiengang/-angebot | Gültigkeit | Variante | Untergliederung | Status | Sem. | LP | |
---|---|---|---|---|---|---|---|
Betriebswirtschaftslehre / Diplom | (Einschreibung bis SoSe 2005) | B3a; B5; WP09; WP15 | HS | ||||
Economic Behavior and Interaction Models / Promotion | |||||||
Economics and Management (BiGSEM) / Promotion | |||||||
Mathematik / Diplom | (Einschreibung bis SoSe 2008) | 5. 6. 7. 8. | HS | ||||
Mathematik / Master | (Einschreibung bis SoSe 2011) | 3 | |||||
QEM - Models and Methods of Quantitative Economics / Master | |||||||
Studieren ab 50 | |||||||
Volkswirtschaftslehre / Diplom | (Einschreibung bis SoSe 2005) | V5; WP09; WP15 | 4 | HS | |||
Wirtschaftsmathematik / Diplom | (Einschreibung bis SoSe 2005) | ||||||
Wirtschaftsmathematik / Master | (Einschreibung bis SoSe 2011) | ||||||
Wirtschaftswissenschaften / Master | (Einschreibung bis SoSe 2012) | Modul 5 | 4 | Themengebiet 5f |