Lehrinhalte
stochastic models of financial markets in discrete time, (model of periodn), derivatives (options and futures), trading strategies and arbitrage, equivalent risk-neutral probability measures, securing and valuation of options, the Black-Scholes formula
Literature
Bingham, Kiesel: Risk-Neutral Valuation;
Elliott, Kopp: Mathematics of Financial Markets;
Irle: Finanzmathematik;
Musiela, Rutkowski: Martingale Methods in Financial Modelling;
Pliska: Introduction to Mathematical Finance;
Shreve: Stochastic Calculus for Finance I (Discrete Time Models)
Voraussetzungen
recommended: Introduction to Stochastics, Probability Theory
stochastic models of financial markets in discrete time, (model of periodn), derivatives (options and futures), trading strategies and arbitrage, equivalent risk-neutral probability measures, securing and valuation of options, the Black-Scholes formula
Literature
Bingham, Kiesel: Risk-Neutral Valuation;
Elliott, Kopp: Mathematics of Financial Markets;
Irle: Finanzmathematik;
Musiela, Rutkowski: Martingale Methods in Financial Modelling;
Pliska: Introduction to Mathematical Finance;
Shreve: Stochastic Calculus for Finance I (Discrete Time Models)
Voraussetzungen
recommended: Introduction to Stochastics, Probability Theory
- Lehrende: Frank Aurzada
- Lehrende: Volker Martin Betz
- Lehrende: Lukas Roth
Semester: ST 2021