401-4936-15L  Asymptotics in Finance

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


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