401-4936-15L  Asymptotics in Finance

Semester Spring Semester 2015
Lecturers J. Muhle-Karbe
Periodicity non-recurring course
Language of instruction English


Abstract The 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
Content The 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 / Notice Preliminaries: Brownian Motion and Stochastic Calculus; Mathematical Finance or Mathematical Foundations for Finance