Module Handbook

  • Dynamischer Default-Fachbereich geändert auf MAT

Course MAT-60-17-K-4

Probability Concepts for Financial Markets (2S, 3.0 LP)

Course Type

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

Basedata

SWS 2S
CP, Effort 3.0 CP = 90 h
Position of the semester 1 Sem. in WiSe/SuSe
Level [4] Bachelor (Specialization)
Language [EN] English
Lecturers
+ further Lecturers of the department Mathematics
Area of study [MAT-STO] Stochastics/Statistics/Financial Mathematics
Additional informations
Livecycle-State [NORM] Active

Notice

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.

Contents

  • 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

Literature

  • 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.

Materials

Further literature will be announced in the course; lecture notes are provided.

Requirements for attendance (informal)

Modules:

Requirements for attendance (formal)

None

References to Course [MAT-60-17-K-4]

Module Name Context
[MAT-60-17-M-4] Probability Concepts for Financial Markets P: Obligatory 2S, 3.0 LP