310201 Einführung in die Finanzmathematik (V) (SoSe 2020)

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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

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

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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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Last update basic details/teaching staff:
Tuesday, November 12, 2019 
Last update times:
Monday, March 23, 2020 
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Monday, March 23, 2020 
Type(s) / SWS (hours per week per semester)
lecture (V) / 2
Department
Faculty of Business Administration and Economics
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