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| Lecturer: |
Prof. Dr. Rudi Zagst
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| Tutor: |
Jan-Frederik Mai
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| Area / Modul: |
Financial Mathematics / MA3701
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| Hours: |
Lecture 2 h
Exercise 1 h
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| Lecture: |
Thursdays, 8:30 – 10:00, MI HS 3
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| Exercises: |
TBA
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| Audience: |
Diploma Finanz- und Wirtschaftsmathematik
Master Mathematics in Finance and Actuarial Science
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| Continuation: |
Continuous Time Finance (next term)
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| Recommendation: |
For lectures and focus on financial mathematics
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| Content: |
Single-Period Financial Markets
Multi-Period Financial Markets
No Arbitrage and Completeness
The Binomial Model
Pricing and Heding of Contigent Claims
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| Certificate: |
Credit points after successful participation in the exam (45-60 minutes), 4 CP
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| Skriptum: |
Yes
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| Literature: |
S.R. Pliska: "Introduction to Mathematical Finance: Discrete Time Models", Blackwell Publishers Inc., 2000
S.E. Shreve: "Stochastic calculus for Finance I: The Binomial Asset Pricing Model", Springer Finance, 2004
N.H. Bingham and R. Kiesel: "Risk-Neutral Valuation: Pricing and Hedging Financial Derivatives", Springer Finance, 2004
J.C. Hull: "Options, Futures and Other Derivatives", Prentice-Hall, 2008
P. Wilmott: "Quantitative Finance", John Wiley & Sons, 2001
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Materials
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