401-4936-15L  Asymptotics in Finance

SemesterSpring Semester 2015
LecturersJ. Muhle-Karbe
Periodicitynon-recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-4936-15 VAsymptotics in Finance
Wed 8-10 or Wed 10-12 (will be decided in the last week of the semester break): result: Wed 10-12
starts on February 25, 2015
2 hrs
Wed10:15-12:00HG D 5.2 »
J. Muhle-Karbe

Catalogue data

AbstractThe analysis of financial markets is severely complicated by frictions such as discrete trading times, transaction costs, or parameter uncertainty. In this lecture, we will discuss asymptotic approaches that allow to obtain tractable approximations.
Objective
ContentThe analysis of financial markets is severely complicated by frictions such as discrete trading times, transaction costs, or parameter uncertainty. In this lecture, we will discuss asymptotic approaches that allow to obtain tractable approximations.
In doing so, the goal is to come to grips with a general approach to tackling many problems in applied mathematics:
i) Formulating a suitable model.
ii) Obtaining a candidate solution by heuristic arguments.
iii) Verifying that the latter is indeed correct.
Prerequisites / NoticePreliminaries: Brownian Motion and Stochastic Calculus; Mathematical Finance or Mathematical Foundations for Finance

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersJ. Muhle-Karbe
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 20 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

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Only public learning materials are listed.

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Offered in

ProgrammeSectionType
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation