311120 Methoden der Finanzwirtschaft (V) (SoSe 2002)
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Contents, comment
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1. Einführung in die Stochastik
a. Wahrscheinlichkeitsräume,
b. bedingte Wahrscheinlichkeiten
c. Induzierte Modelle,
d. Verteilungen
e. Integrale
2. Einführung in die Entscheidungslehre
a. Abbildung von Risikoeinstellungen
b. Klassische Entscheidungskriterien
3. Einführung in die Agency-Theorie
a. Paretoeffizienz und Anreizkompatibilität
b. Grundmodelle
4. Stochastische Prozesse
a. Stochastische Prozesse
b. Stochastische Integrale
c. Martingale
5. Optimierungsmethoden
a. Konvexe Programmierung
b. Quadratische Programmierung
c. Dynamische Programmierung
Bibliography
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Bamberg, Coenenberg (2000): Betriebswirtschaftliche Entscheidungslehre, 10. Aufl.
Domschke, Drexl (1998): Einführung in Operations Research, 4. Aufl.
Kistner (1993): Optimierungsmethoden, 2. Aufl.
Laux (1998): Entscheidungstheorie, 4. Aufl.
Velthuis (1998): Lineare Erfolgsbeteiligung.
Foata, Fuchs (1999): Wahrscheinlichkeitsrechnung
Irle (1998): Finanzmathematik. Die Bewertung von Derivaten.
Levine (1971): Theory of Probability.
Neftci (1996): Mathematics of Financial Derivatives
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Mi | 14-16 | V8-119 |
Subject assignments
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Betriebswirtschaftslehre / Diplom | (Enrollment until SoSe 2005) | B1; WP06 | Wahl | HS | |||
| Volkswirtschaftslehre / Diplom | (Enrollment until SoSe 2005) | V3; WP06 | Wahl | HS |
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- ECTS points
- 4
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- 1036204