1.Introduction
- brief historical outline;
- relations between physics and finance;
2.Basic concepts:
- arbitrage, efficient market hypothesis;
- financial leverage and financial risk;
- hedging strategy;
- portfolio;
3.Basic financial instruments:
- deposits;
- bonds;;
- stocks;
- derivatives (forward/futures, options, SWAPs);
4.Interest rates:
- interest compounding, (effective interest rate);
- continuos compounding;
- dynamics of interest rates;
- yield curve;
- FRA (forward rate agreements);
5.Random walk:
- Brownian motion, diffusion equation;
- central limit theorem;
- geometric Brownian motion;
- stochastic differential equations (Ito's lemma)
6.Stocks:
- Gaussian fluctuations;
- returns and logarithmic returns:
- expected price distribution in the ideal market;
- properties of the log-normal distribution;
- non-Gaussian fluctuations; Levy distribution;
7.Risk measures;
- volatility;
- VaR (value at risk);
- ESF (expected shortfall);
- Sharpe's ratio;
- loss distribution and extreme statistics;
8.Derivatives:
- basic ideas;
- symmetric derivatives:
- options;
- option types: (European, American, exotic options);
- estimation of option price;
9.Option pricing in the ideal market:
- binomial trees;
- neutral risk (martingales);
- application of stochastic equations to option pricing;
- arbitrage pricing (based on log-normal distribution)
- Black-Scholes-Merton formula;
10.Hedging strategies:
- naked and covered positions;
- stop-loss strategy;
- Black-Scholes strategy;
- Greek letters;
11.Portfolio theory;
- volatility and diversification;
- Markowitz theory;
- conditional extremum with
conditions given by equation/inequalities;
- covariance matrix (interpretation and estimation);
- model CAPM
- non-Gaussian portfolios;
1) John C. Hull
Options, Futures and Other Derivatives
2) Jean-Philippe Bouchaud, Marc Potters,
Theory of Financial Risk and Derivative Pricing:
From Statistical Physics to Risk Management
3) Rosario N. Mantegna, H. Eugene Stanley
An introduction to econophysics
Correlations and Complexity in Finance
Rhythmus | Tag | Uhrzeit | Format / Ort | Zeitraum |
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Modul | Veranstaltung | Leistungen | |
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28-M-VP Vertiefung | Vertiefung (B.1) | benotete Prüfungsleistung
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Studieninformation |
28-M-VTP1 Vertiefung Theoretische Physik 1 | Vertiefung Theoretische Physik 1 (B.1) | Studieninformation | |
- | benotete Prüfungsleistung | Studieninformation |
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