Times and Location: Lectures will be Monday 10-12; Tuesday 8-10 in He120.
First Lecture Tuesday, 14.10.2003
This course covers the fundamental principles and techniques of ¯nancial mathematics in discrete-
and continuous-time models. The focus will be on probabilistic techniques which will be discussed
in some detail. Speci¯c topics are
² Classical Asset Pricing: Mean-Variance Analysis, CAPM, Arbitrage.
² Martingale-based stochastic market models: Fundamental Theorems of Asset Pricing.
² Contingent Claim Analysis: European, American and Exotic Options.
² Interest Rate Theory: Term Structure Models, Interest Rate Derivatives.
Pre-requisites. Probability Theory, Calculus, Linear Algebra
² N.H.Bingham & R.Kiesel, Risk Neutral Valuation, Springer 1998.
² H.FÄollmer & A.Schied: Stochastic Finance: An Introduction in Discrete Time, De Gruyter
² J.Hull: Options, Futures & Other Derivatives, 4th edition, Prentice Hall, 1999.
² R.Jarrow & S.Turnbull, Derivative Securities, 2nd edition, 2000.
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