310201 Einführung in die Finanzmathematik (V) (SoSe 2020)
Contents, comment
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In dieser Vorlesung behandeln wir im Binomialmodell grundlegende Konzepte der Finanzmathematik, wie Arbitrage, Hedging und Risikoneutrale Bewertung. Dazu benötigen wir Themenbereiche der Stochastik (bedingte Erwartungswerte, Markovprozesse, Maßwechsel und Stoppzeiten), die im Binomialmodell eine sehr anschauliche Form haben.
DER ZWEITE PRÜFUNGSTERMIN IST DER DIENSTAG, 9. MÄRZ 2021. Die Prüfungen werden mündlich stattfinden, evtl. über Zoom. Anmeldung per Email bis zum 02. März 2021.
Bibliography
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Steven E. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model.
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Di | 10-12 | D2-136 | 20.04.-17.07.2020 |
Subject assignments
| Module | Course | Requirements | |
|---|---|---|---|
| 25-FS-EM Einführungsmodul | E2: Einführende Veranstaltung aus den Fakultäten | Student information | |
| E3: Einführende Veranstaltung aus den Fakultäten | Student information | ||
| 25-FS-GM Grundlagenmodul | E2: Einführende Veranstaltung aus den Fakultäten | Student information | |
| E3: Einführende Veranstaltung aus den Fakultäten | Student information | ||
| 31-M27 Profilmodul Finanzmathematik | Einführung in die Finanzmathematik | Student information |
The binding module descriptions contain further information, including specifications on the "types of assignments" students need to complete. In cases where a module description mentions more than one kind of assignment, the respective member of the teaching staff will decide which task(s) they assign the students.
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Studieren ab 50 |
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