Kommentiertes Vorlesungsverzeichnis WS 09 10 - Mathematisches ...

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Kommentiertes Vorlesungsverzeichnis WS 09 10 - Mathematisches ...

WS 09/10Vorlesung:Dozentin:Zeit/Ort:Futures and OptionsJProf. Dr. Eva Lütkebohmert-HoltzDi 8–10 Uhr, HS 1221, KG IÜbungen: Mi 16–18 Uhr, SR 125, Eckerstr. 1Tutorium:Web-Seite:Georg Mainikhttp://www.stochastik.uni-freiburg.de/Inhalt:The second revolution in mathematical finance following the Markowitz mean-variancetheory of risk and return and the capital asset pricing model, concerns the option pricingtheory of Black, Scholes and Merton from 1973 and the risk-neutral valuation theorythat grew from it. In this course we introduce financial models in discrete as well as incontinuous time and explain the basic principles of risk-neutral valuation of derivatives.Besides of futures and standard put and call options a number of more sophisticated derivativesis introduced as well. We also discuss interest-rate sensitive instruments such ascaps, floors and swaps.The course, which is taught in English, is offered for the second year of the Master inFinance program as well as for students in mathematics and economics.Literatur:1. Chance, D. M.: An Introduction to Derivatives and Risk Management (Sixth Edition),Thomson 20042. Hull, J. C.: Options, Futures and other Derivatives (Fifth Edition), Prentice Hall 2003Typisches Semester:ab 5. SemesterStudienschwerpunkt:Mathematische Stochastik und FinanzmathematikNotwendige Vorkenntnisse: Einführung in die StochastikSprechstunde Dozent: Mi 11–12 Uhr; Zi. 247, Eckerstr. 134

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