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401-4889-00L  Mathematical Finance

SemesterHerbstsemester 2016
DozierendeM. Schweizer
Periodizitätjährlich wiederkehrende Veranstaltung
LehrspracheEnglisch


KurzbeschreibungAdvanced introduction to mathematical finance:
- absence of arbitrage and martingale measures
- option pricing and hedging
- optimal investment problems
- additional topics
LernzielAdvanced level introduction to mathematical finance, presupposing knowledge in probability theory and stochastic processes
InhaltThis is an advanced level introduction to mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this in both discrete- and continuous-time models. Topics include absence of arbitrage and martingale measures, option pricing and hedging, optimal investment problems, and probably others.
Prerequisites are probability theory and stochastic processes (for which lecture notes are available).
SkriptNone available
LiteraturDetails will be announced in the course.
Voraussetzungen / BesonderesPrerequisites are probability theory and stochastic processes (for which lecture notes are available).