311506 Dynamic Financial Markets (V) (SoSe 2009)
Contents, comment
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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.
Bibliography
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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.
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Mo | 12-14 | V2-200 | 14.04.-28.05.2009 | |
| weekly | Fr | 14-16 | U2-135 | 14.04.-28.05.2009
not on: 4/17/09 / 5/1/09 |
Subject assignments
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Betriebswirtschaftslehre / Diplom | (Enrollment until SoSe 2005) | B3a; B5; WP09; WP15 | HS | ||||
| Economic Behavior and Interaction Models / Promotion | |||||||
| Economics and Management (BiGSEM) / Promotion | |||||||
| Mathematik / Diplom | (Enrollment until SoSe 2008) | 5. 6. 7. 8. | HS | ||||
| Mathematik / Master | (Enrollment until SoSe 2011) | 3 | |||||
| QEM - Models and Methods of Quantitative Economics / Master | |||||||
| Studieren ab 50 | |||||||
| Volkswirtschaftslehre / Diplom | (Enrollment until SoSe 2005) | V5; WP09; WP15 | 4 | HS | |||
| Wirtschaftsmathematik / Diplom | (Enrollment until SoSe 2005) | ||||||
| Wirtschaftsmathematik / Master | (Enrollment until SoSe 2011) | ||||||
| Wirtschaftswissenschaften / Master | (Enrollment until SoSe 2012) | Modul 5 | 4 | Themengebiet 5f |
- Registered number: 29
- This is the number of students having stored the course in their timetable. In brackets, you see the number of users registered via guest accounts.
- Address:
- SS2009_311506@ekvv.uni-bielefeld.de
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- Notes:
- Additional notes on the electronic mailing lists
- Last update basic details/teaching staff:
- Friday, December 11, 2015
- Last update times:
- Thursday, September 26, 2013
- Last update rooms:
- Friday, February 20, 2009
- Type(s) / SWS (hours per week per semester)
- lecture (V) / 4
- Department
- Faculty of Business Administration and Economics
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- ECTS points
- 4
- (Also refer to the credit information in connection with the subject assignments)
- ID
- 10902507