311504 Continuous Time Finance (Advanced Topics in Finance) (V) (SoSe 2011)
Contents, comment
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The lecture aims to develop a new approach to finance that replaces the usual probabilistic ansatz by a new, more robust approach inspired by recent models of Knightian uncertainty.
Requirements for participation, required level
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Knowledge of stochastic calculus (Ito's lemma, Girsanov etc.) is required. The lectures Finance Ia and Ib are useful, but not necessary.
Bibliography
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Föllmer, Schied, Stochastic Finance, 2nd edition
Björk, Arbitrage Theory in Continuous TimeThese books serve as a background. Most of the lecture is based on recent research papers that I will make available.
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period |
|---|
Subject assignments
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Economic Behavior and Interaction Models / Promotion | |||||||
| QEM - Models and Methods of Quantitative Economics / Master | 4 | ||||||
| Wirtschaftsmathematik / Diplom | (Enrollment until SoSe 2005) | 4 | HS | ||||
| Wirtschaftsmathematik / Master | (Enrollment until SoSe 2011) | MW09eS | 4 |
No more requirements
No eLearning offering available
- Address:
- SS2011_311504@ekvv.uni-bielefeld.de
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- Notes:
- Additional notes on the electronic mailing lists
- Last update basic details/teaching staff:
- Friday, December 11, 2015
- Last update times:
- Thursday, September 26, 2013
- Last update rooms:
- Monday, June 20, 2011
- Type(s) / SWS (hours per week per semester)
- lecture (V) / 2
- Department
- Faculty of Business Administration and Economics
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- ECTS points
- 4
- (Also refer to the credit information in connection with the subject assignments)
- ID
- 22941943
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