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 financial 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 financial instruments like options and hedging in discrete-time (one-period and binomial multi-period) stochastic market models. The second half (Finance 1b) studies dynamic models and questions one can only answer within this class of models. We consider American options and hedging techniques in incomplete markets like super- and quantile hedging. We will also start a discussion of risk management.
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.
We follow mainly the ideas in:
Föllmer, Schied, Stochastic Finance: An Introduction in Discrete Time
Background Reading:
Shiryaev, Probability, especially Chapter VII on Martingales
Rhythmus | Tag | Uhrzeit | Format / Ort | Zeitraum |
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Modul | Veranstaltung | Leistungen | |
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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 | |
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Bielefeld Graduate School in Theoretical Sciences / Promotion | |||||||
Economics and Management (BiGSEM) / Promotion | Economics; Field Courses; Prerequisites |
Zu dieser Veranstaltung existiert ein Lernraum im E-Learning System. Lehrende können dort Materialien zu dieser Lehrveranstaltung bereitstellen: