311500 Foundations of Modern Financial Economics (Finance 1a) (V) (WiSe 2015/2016)
Contents, comment
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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.
Bibliography
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We follow mainly the ideas in:
Föllmer, Schied, Stochastic Finance: An Introduction in Discrete TimeBackground Reading:
Shiryaev, Probability, especially Chapter VII on Martingales
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Mo | 8-10 | H9 | 19.10.2015-12.02.2016
not on: 12/28/15 / 1/4/16 |
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| weekly | Fr | 14-16 | X-E0-207 | 19.10.2015-12.02.2016
not on: 12/25/15 / 1/1/16 |
Subject assignments
| Module | Course | Requirements | |
|---|---|---|---|
| 31-M-El1 Elective Courses 1 Elective Courses 1 | Chosen course from the group "Specialisation and deepening of the knowledge on economic theory and/or quantitative methods" 4 LP | Student information | |
| 31-M-El2 Elective Courses 2 Elective Courses 2 | Chosen course from the group quantitative methods 4 LP | Student information | |
| 31-M-El3 Elective Courses 3 Elective Courses 3 | Chosen course from the group economic theory 4 LP | Student information | |
| 31-M-Fin1 Finance 1 Finance 1 | Finance 1 | Student information | |
| 31-MM5 Theory of Financial Markets Finanzmarkttheorie | Foundations of Modern Financial Economics | Student information | |
| 31-MM5-WiMa Theory of Financial Markets 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 | |
|---|---|---|---|---|---|---|---|
| Economics and Management (BiGSEM) / Promotion | 4 | ||||||
| Studieren ab 50 |
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- Last update basic details/teaching staff:
- Tuesday, February 9, 2016
- Last update times:
- Friday, July 10, 2015
- Last update rooms:
- Friday, July 10, 2015
- Type(s) / SWS (hours per week per semester)
- lecture (V) / 2
- Department
- Faculty of Business Administration and Economics
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