311504 Continuous-time finance (Finance 2b) (V) (WiSe 2010/2011)
Contents, comment
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This lecture course is the sequel to class no. 311506 Dynamic Financial Markets (Finance 2a).
First, we shall cover the martingale approach to arbitrage theory, in particular the two fundamental theorems of asset pricing.
Necessary mathematical results, such as Girsanov's theorem and the Kreps-Yan-Clark theorem, will be discussed briefly.
Afterwards, stochastic optimal control theory will be touched upon, and term-structure models will be treated.
Requirements for participation, required level
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Prerequisite: course no. 311506 Dynamic Financial Markets (Finance 2a)
Bibliography
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T. Björk [2004]: Arbitrage theory in continuous time, 2nd
ed., Oxford: Oxford University Press.
D. Duffie [2001]: Dynamic asset pricing theory, 3rd ed.,
Princeton (NJ): Princeton University Press.
A. Etheridge [2002]: A course in financial calculus, Cambridge: Cambridge University Press.
J.M. Steele [2001]: Stochastic calculus and financial applications, New York: Springer.
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period |
|---|
Subject assignments
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Betriebswirtschaftslehre / Diplom | (Enrollment until SoSe 2005) | B3a; B5; WP09; WP15 | 4 | HS | |||
| Economic Behavior and Interaction Models / Promotion | |||||||
| Economics and Management (BiGSEM) / Promotion | |||||||
| Mathematik / Diplom | (Enrollment until SoSe 2008) | 5. 6. 7. 8. | HS | ||||
| Mathematik / Master | (Enrollment until SoSe 2011) | 3 | |||||
| QEM - Models and Methods of Quantitative Economics / Master | 4 | ||||||
| Studieren ab 50 | |||||||
| Volkswirtschaftslehre / Diplom | (Enrollment until SoSe 2005) | V5; WP09; WP15 | 4 | HS | |||
| Wirtschaftsmathematik / Diplom | (Enrollment until SoSe 2005) | 4 | HS | ||||
| Wirtschaftsmathematik / Master | (Enrollment until SoSe 2011) | 4 | |||||
| Wirtschaftswissenschaften / Master | (Enrollment until SoSe 2012) | Modul 5 | 4 | Themengebiet 5g |
Oral examination, covering underlying ideas, statements, and proofs (!) of the most important results discussed in the lecture course.
- Registered number: 23
- This is the number of students having stored the course in their timetable. In brackets, you see the number of users registered via guest accounts.
- Address:
- WS2010_311504@ekvv.uni-bielefeld.de
- This address can be used by teaching staff, their secretary's offices as well as the individuals in charge of course data maintenance to send emails to the course participants. IMPORTANT: All sent emails must be activated. Wait for the activation email and follow the instructions given there.
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- Coverage:
- 3 Students to be reached directly via email
- 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:
- Tuesday, August 10, 2010
- Type(s) / SWS (hours per week per semester)
- 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
- 19190238