The lecture course Finance 1 is the first in a three-semester sequence on mathematical finance. Finance 1 is meant to equip students with a basic understanding of how derivatives markets work and what the most fundamental techniques for pricing and hedging derivatives are.
The first half of the lecture course (Finance 1a) studies arbitrage arguments, the pricing of forwards and futures as well as option pricing and hedging in discrete-time (one-period and binomial multi-period) stochastic market models. The second half (Finance 1b) introduces continuous-time models, using a rigorous, yet elementary approach to stochastic calculus (based on a demonstrably consistent use of infinitesimals, much in the spirit of financial engineering textbooks). Within this framework, the basics of stochastic calculus as well as the Samelson-Black-Scholes model are treated.
Subsequent lecture courses in this module (viz. Finance 2-3) will be devoted to the economic theory of financial markets and more advanced continuous-time models, developed within classical stochastic analysis.
Basic microeconomics and probability
J.C. Hull: Options, futures, and other derivatives. Prentice-Hall, Upper Saddle River, NJ, 6 edition, 2006.
H. Föllmer, A. Schied, Stochastic finance. Springer, Berlin, 2004.
S.F. LeRoy, J. Werner: Principles of financial economics. Cambridge University Press, Cambridge, UK, 2001.
F.S. Herzberg: Lecture notes on Finance 1. Center for Mathematical Economics, Bielefeld University, Bielefeld, 2013.
Rhythmus | Tag | Uhrzeit | Format / Ort | Zeitraum | |
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wöchentlich | Do | 16-18 | C01-142 | 14.10.-05.12.2013 | |
wöchentlich | Fr | 16-18 | C01-142 | 14.10.-12.12.2013
nicht am: 01.11.13 |
|
wöchentlich | Do | 14-16 | T2-208 | 21.10.2013-07.02.2014
nicht am: 26.12.13 |
Tutorial |
Verstecke vergangene Termine <<
Datum | Uhrzeit | Format / Raum | Kommentar zum Klausurtermin |
---|---|---|---|
Donnerstag, 5. Dezember 2013 | 16:00-18:00 | H14 | |
Donnerstag, 12. Dezember 2013 | 16:00-18:00 | H7 |
Verstecke vergangene Klausurtermine <<
Modul | Veranstaltung | Leistungen | |
---|---|---|---|
31-M-El1 Elective Courses 1 | Gewählte Veranstaltungen aus dem Bereich "Spezialkenntnisse in ökonomischer Theorie und/oder quantitativen Methoden" 4 LP | Studieninformation | |
31-M-El2 Elective Courses 2 | Gewählte Veranstaltungen aus dem Bereich quantitativen Methoden 4 LP | Studieninformation | |
31-M-El3 Elective Courses 3 | Gewählte Veranstaltungen aus dem Bereich ökonomischer Theorie 4 LP | Studieninformation | |
31-M-Fin1 Finance 1 | Finance 1 | Studieninformation | |
31-MM5 Finanzmarkttheorie | Foundations of Modern Financial Economics | Studieninformation | |
31-MM5-WiMa Finanzmarkttheorie | Foundations of Modern Financial Economics | Studieninformation |
Die verbindlichen Modulbeschreibungen enthalten weitere Informationen, auch zu den "Leistungen" und ihren Anforderungen. Sind mehrere "Leistungsformen" möglich, entscheiden die jeweiligen Lehrenden darüber.
Studiengang/-angebot | Gültigkeit | Variante | Untergliederung | Status | Sem. | LP | |
---|---|---|---|---|---|---|---|
Bielefeld Graduate School in Theoretical Sciences / Promotion | |||||||
Economic Behavior and Interaction Models / Promotion | |||||||
Economics and Management (BiGSEM) / Promotion | |||||||
QEM - Models and Methods of Quantitative Economics / Master | 4 | ||||||
Wirtschaftsmathematik / Master | (Einschreibung bis SoSe 2011) | MW09hS | 4 | ||||
Wirtschaftswissenschaften / Master | (Einschreibung bis SoSe 2012) | Modul 5; Modul 12; Modul 16 | 4 | Themengebiet 5a oder 12k |