Course Contents
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)
Preconditions
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)
Preconditions
Probability Theory
- Lehrende: DrewsSelina
- Lehrende: KohlerMichael
Semester: ST 2023