Probability Concepts for Financial Markets (2S, 3.0 LP)
|SWS||Type||Course Form||CP (Effort)||Presence-Time / Self-Study|
|2||S||Compact course with integrated exercises and seminar||3.0 CP||28 h||62 h|
|(2S)||3.0 CP||28 h||62 h|
The compact course takes place during the first weeks of the semester (before the lecture period).
Possible Study achievement
- Verification of study performance: proof of successful participation in the seminar
- Examination number (Study achievement): 86365 ("Probability Concepts for Financial Markets")
- Details of the examination (type, duration, criteria) will be announced at the beginning of the course.
- Modelling of discrete-time financial markets,
- Review and extensions of concepts from probability: Conditional expectation, martingales, stopping times, change of measure,
- Binomial model,
- Pricing of financial products in discrete-time financial markets,
- European options,
- American options,
- Basics of portfolio optimization
- N.H. Bingham, R. Kiesel: Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives,
- J. Jacod, P. Protter: Probability Essentials,
- R. Korn: Moderne Finanzmathematik – Theorie und praktische Anwendung, Band 1: Optionsbewertung und Portfolio-Optimierung,
- S. Pliska: Introduction to Mathematical Finance,
- S. Shreve: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model.
Further literature will be announced in the course; lecture notes are provided.
Requirements for attendance (informal)
- [MAT-10-1-M-2] Fundamentals of Mathematics (M, 28.0 LP)
- [MAT-60-11-M-4] Probability Theory (M, 9.0 LP)
Requirements for attendance (formal)
References to Course [MAT-60-17-K-4]
|[MAT-60-17-M-4]||Probability Concepts for Financial Markets||P: Obligatory||2S, 3.0 LP|