The lecture course Finance 1 is the first in a three-semester sequence on mathematical finance. Finance 1 is meant to equip students with a basic understanding of how financial markets work and what the most fundamental techniques for pricing and hedging derivatives are.
The first half of the lecture course (Finance 1a) studies arbitrage arguments, the pricing of financial instruments like options and hedging in discrete-time (one-period and binomial multi-period) stochastic market models. The second half (Finance 1b) studies dynamic models and questions one can only answer within this class of models. We consider American options and hedging techniques in incomplete markets like super- and quantile hedging. We will also start a discussion of risk management.
Subsequent lecture courses in this module (viz. Finance 2-3) will be devoted to the economic theory of financial markets and more advanced continuous-time models, developed within classical stochastic analysis.
Basic microeconomics and probability
J.C. Hull: Options, futures, and other derivatives. Prentice-Hall, Upper Saddle River, NJ, 6 edition, 2006.
H. Föllmer, A. Schied, Stochastic finance. Springer, Berlin, 2004.
S.F. LeRoy, J. Werner: Principles of financial economics. Cambridge University Press, Cambridge, UK, 2001.
Frequency | Weekday | Time | Format / Place | Period |
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Module | Course | Requirements | |
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31-M-El1 Elective Courses 1 | Gewählte Veranstaltungen aus dem Bereich "Spezialkenntnisse in ökonomischer Theorie und/oder quantitativen Methoden" 4 LP | Student information | |
31-M-El2 Elective Courses 2 | Gewählte Veranstaltungen aus dem Bereich quantitativen Methoden 4 LP | Student information | |
31-M-El3 Elective Courses 3 | Gewählte Veranstaltungen aus dem Bereich ökonomischer Theorie 4 LP | Student information | |
31-M-Fin1 Finance 1 | Finance 1 | Student information | |
31-MM5 Finanzmarkttheorie | Foundations of Modern Financial Economics | Student information | |
31-MM5-WiMa Finanzmarkttheorie | Foundations of Modern Financial Economics | 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 | |
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Bielefeld Graduate School in Theoretical Sciences / Promotion | |||||||
Economic Behavior and Interaction Models / Promotion | |||||||
Economics and Management (BiGSEM) / Promotion | |||||||
Studieren ab 50 | |||||||
Wirtschaftswissenschaften / Master | (Enrollment until SoSe 2012) | Modul 5; Modul 12; Modul 16 | 4 | Themengebiet 5a oder 12k |