Discrete Time Financial Mathematics
Information about the course
Content
This course covers the fundamental principles and techniques of financial mathematics in discrete-time models. Specific topics are
- Financial market models in discrete time: arbitrage freeness and completeness
- Conditional expectation and discrete time martingales
- Valuation of European, American and path-dependent options
- Interest rate models and derivative
- Portfolio optimisation
- Risk measures
Type
- Bachelor Mathematische Biometrie (optional)
- Bachelor/Master Mathematik (optional)
- Bachelor/Master Wirtschaftsmathematik (optional)
- Master Wirtschaftswissenschaften (optional)
- Master of Finance-Major Financial Mathematics (obligatory)
- Master of Finance-Major Financial Economics (obligatory)
- Master of Finance-Major Actuarial Science (obligatory)
- Prerequisites
- Analysis I+II
- Lineare Algebra I+II
- Stochastik I
- Elementary Probability, Statistics
- Measure Theory or Introduction to Measure Theoretic Probability (can be attended in the same winter term)
Time and Venue
Discrete Time Financial Mathematics is a (2+1)-course and there will be 2 hours of lecture every week and 2 hours of exercise every second week.
- Lecture: Friday 8:15-9:45 in N24 H14
- Exercise Class: Thursday 16:15-17:45 in N24 H14
Lecture Notes and Exercises
All materials will be available on Moodle.
News
- Date of the first lecture: Friday, 22.10.2021 8:15-9:45
- Date of the first Exercise Class: Thursday, 04.11.2021 16:15-17:45
Literature
- A. Irle, Finanzmathematik: Die Bewertung von Derivaten, Vieweg + Teubner, 2012.
- N.H.Bingham & R.Kiesel, Risk Neutral Valuation, 2nd ed., Springer, 2004.
- H. Föllmer & A. Schied, Stochastic Finance: An introduction in discrete time, de Gruyter, 2004.
- P.K. Koch & S. Merino, Mathematical Finance and Probability: A Discrete Introduction, Springer, 2013.
- M. Musiela & M. Rutkowski, Martingale methods in financial modelling, 2nd ed., Springer, 2004.
- S. Shreve, Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, 2004.
- S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004.