mat825 - Stochastic Processes and Finance (Complete module description)
Module label | Stochastic Processes and Finance |
Modulkürzel | mat825 |
Credit points | 9.0 KP |
Workload | 270 h |
Institute directory | Department of Mathematics |
Verwendbarkeit des Moduls |
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Zuständige Personen |
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Prerequisites | |
Skills to be acquired in this module |
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Module contents | Interest rates, zero coupon bonds, price formula, numeraire, financial instruments, term structure, underlyings and financial derivatives, financial market, no free lunch condition, options of European and American type, binomial model by Cox, Ross and Rubinstein, price formula for simple options; Conditional expectation, martingales in discrete time, Brownian motion; stochastic interest rate models, Black-Scholes model, Black-Scholes formula and PDE; Affine term structures, Forward rates, Futures and Forwards |
Literaturempfehlungen | Albrecher, Binder, Mayer: Einführung in die Finanzmathematik, Birkhäuser, 2009 Kellerhals, Asset Pricing, Springer, 2004 Brzezniak, Zastawniak: Basic Stochastic Processes, Springer SUMS, 1999 Koch, Medina, Merino: Mathematical Finance and Probability, Birkhäuser, 2003 Etheridge, A Course in Financial Calculus, Cambridge Univ. Press, 2002 |
Links | |
Languages of instruction | English , German |
Duration (semesters) | 1 Semester |
Module frequency | unregelmäßig |
Module capacity | unlimited |
Reference text | Studienschwerpunkt: C |
Lehrveranstaltungsform | Comment | SWS | Frequency | Workload of compulsory attendance |
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Lecture | 3 | -- | 42 | |
Exercises | 1 | -- | 14 | |
Seminar | 2 | -- | 28 | |
Präsenzzeit Modul insgesamt | 84 h |
Examination | Prüfungszeiten | Type of examination |
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Final exam of module | nach Ende der Vorlesungszeit |
KL |