311120 Methoden der Finanzwirtschaft (V) (WiSe 2002/2003)
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Contents, comment
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1. Einführung in die Stochastik I
1.1 Wahrscheinlichkeitsräume
1.2 Bedingte Wahrscheinlichkeiten
1.3 Induzierte Modelle
1.4 Verteilungen
1.5 Integrale
2. Einführung in die Entscheidungstheorie
2.1 Abbildung von Risikoeinstellungen
2.2 Klassische Entscheidungskriterien
3. Einführung in die Agency-Theorie
3.1 Paretoeffizienz und Anreizkompatibilität
3.2 Grundmodelle
4. Stochastische Prozesse
4.1 Stochastische Prozesse
4.2 Stochastische Integrale
5. Optimierungsmethoden
5.1 Konvexe Programmierung
5.2 Quadratische Programmierung
5.3 Dynamische Programmierung
Bibliography
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Bamberg, Coenenberg (2000): Betriebswirtschaftliche Entscheidungslehre, 10. Aufl.
Domschke, Drexl (1998): Einführung in Operations Research, 4. Aufl.
Foata, Fuchs (1999): Wahrscheinlichkeitsrechnung
Irle (1998): Finanzmathematik. Die Bewertung von Derivaten.
Kistner (1993): Optimierungsmethoden, 2. Aufl.
Laux (1998): Entscheidungstheorie, 4. Aufl.
Levine (1971): Theory of Probability
Neftci (1996): Mathematics of Financial Derivatives
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Di | 12.30-14.00 | Unpublished | 14.10.2002-14.02.2003 |
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 | |||
| Wirtschaftswissenschaften / Bachelor | (Enrollment until SoSe 2005) | Nebenfach | Modul W8 | Wahl | 5. 6. | 4 | |
| Wirtschaftswissenschaften / Bachelor | (Enrollment until SoSe 2005) | Nebenfach | Modul W1; Modul W2; Modul W4; Modul W5; Modul W6 | Wahl | 5. 6. | 4 |
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- ECTS points
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- 1049869