| Lecturer: |
Prof. Dr. Rudi Zagst |
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| Tutor: |
Arnd Pauwels
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| TA lab: |
Andreas Grau
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| News: |
The fourth chapter of the lecture is currently online available (cf. materials).
Computer Lab: The numbers of the tasks of assignment 4 changed.
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| Field: |
Finanzmathematik |
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| Content: |
Stochastic Processes
Itô Calculus
Financial Markets
Arbitrage and Completness
Pricing and Hedging Contingent Claims
The Generalized Black-Scholes Model
Exotic Options
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| Lecture Notes: |
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R. Zagst: Interest Rate Management, Springer Finance, 2002 |
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slides (cf. materials) |
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| Audience: |
Studienrichtung Mathematik, Finanz- und Wirtschaftsmathematik
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| Recommendation: |
Financial Engineering |
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| Literature: |
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R. Zagst: Interest Rate Management, Springer Finance, 2002 |
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N.H. Bingham und R. Kiesel: Risk-Neutral Valuation: Pricing and Hedging Financial Derivatives, Springer Finance, 1998 |
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J.C. Hull: Options, Futures and Other Derivatives, Prentice-Hall, 2000 |
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| Certificate: |
written Examination
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| Semester/Term: |
from 5th. |
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| Prerequisite: |
recommended: Stochastic III |
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| Hours per week: |
2 (lecture) + 1 (exercises) + 1 (lab)
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| Time: |
Wednesday, 10:15am - 11:45am
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| Room: |
MI HS 3
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| Exercises: |
biweekly, Wednesday, 02:00pm - 03:30pm, MI HS 3
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| Tutorial for the lab: |
biweekly, Wednesday, 02:00pm - 03:30pm, MI HS 3
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