310201 Einführung in die Finanzmathematik (V) (SoSe 2017)
Short comment
- Die Vorlesung führt in die Theorie der Finanzmärkte ein. Die Finanzmathematik beschäftigt sich mit dem Absichern (Hedgen) von Risiken und ihrer Bewertung durch das Prinzip der Arbitragefreiheit. Ferner spielt in jüngster Zeit das Thema Risikomessung eine große Rolle. Anhand einfacher diskreter Modelle (Atom der Finanzmathematik, Binomialmodell) werden diese Prinzipien erläutert und die Hauptresultate der Finanzmathematik hergeleitet.
Contents, comment
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Die Vorlesung führt in die Theorie der Finanzmärkte ein. Die Finanzmathematik beschäftigt sich mit dem Absichern (Hedgen) von Risiken und ihrer Bewertung durch das Prinzip der Arbitragefreiheit. Ferner spielt in jüngster Zeit das Thema Risikomessung eine große Rolle. An Hand einfacher diskreter Modelle (Atom der Finanzmathematik, Binomialmodell) werden diese Prinzipien erläutert und die Hauptresultate der Finanzmathematik hergeleitet.
Requirements for participation, required level
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Risiko und Versicherung
Einführung in die Stochastik
Kenntnisse in Wahrscheinlicheitstheorie sind hilfreich
Bibliography
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Tafelanschrieb
Eigenes Skript
Vertiefende Lektüre:
Steven S. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model
LeRoy, Werner, Financial Economics
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Mo | 10-12 | H11 | 18.04.-28.07.2017
not on: 5/1/17 / 6/5/17 |
Subject assignments
| Module | Course | Requirements | |
|---|---|---|---|
| 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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- Tuesday, November 8, 2016
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- Wednesday, February 15, 2017
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- Wednesday, February 15, 2017
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- lecture (V) / 2
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- Faculty of Business Administration and Economics
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