This lecture course is the sequel to class no. 311506 Dynamic Financial Markets. First, we shall cover the martingale approach to arbitrage theory, in particular the two fundamental theorems of asset pricing. Necessary mathematical results, such as Girsanov's theorem and the Kreps-Yan-Clark theorem, will be discussed briefly. Afterward, stochastic optimal control theory will be touched upon, and term-structure models will be treated.
T. Björk [2004]: Arbitrage theory in continuous time, 2nd
ed., Oxford: Oxford University Press.
D. Duffie [2001]: Dynamic asset pricing theory, 3rd ed.,
Princeton (NJ): Princeton University Press.
A. Etheridge [2002]: A course in financial calculus, Cambridge: Cambridge University Press.
J.M. Steele [2001]: Stochastic calculus and financial applications, New York: Springer.
Rhythmus | Tag | Uhrzeit | Format / Ort | Zeitraum |
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Studiengang/-angebot | Gültigkeit | Variante | Untergliederung | Status | Sem. | LP | |
---|---|---|---|---|---|---|---|
Betriebswirtschaftslehre / Diplom | (Einschreibung bis SoSe 2005) | B3a; B5; WP09; WP15 | 4 | 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 | 4 | ||||||
Studieren ab 50 | |||||||
Volkswirtschaftslehre / Diplom | (Einschreibung bis SoSe 2005) | V5; WP09; WP15 | 4 | HS | |||
Wirtschaftsmathematik / Diplom | (Einschreibung bis SoSe 2005) | 4 | HS | ||||
Wirtschaftsmathematik / Master | (Einschreibung bis SoSe 2011) | 4 | |||||
Wirtschaftswissenschaften / Master | (Einschreibung bis SoSe 2012) | Modul 5 | 4 | Themengebiet 5g |