401-3913-01L  Mathematical Foundations for Finance

SemesterHerbstsemester 2019
DozierendeE. W. Farkas
Periodizitätjährlich wiederkehrende Veranstaltung


401-3913-01 VMathematical Foundations for Finance
**together with University of Zurich**
3 Std.
Di12:15-13:00HG D 1.1 »
Mi10:15-12:00HG D 1.1 »
E. W. Farkas
401-3913-01 UMathematical Foundations for Finance
Gruppeneinteilung erfolgt über myStudies.
**together with University of Zurich**
Fri 8-10 or Fri 10-12
2 Std.
Fr08:15-10:00HG D 7.1 »
10:15-12:00LFW E 13 »
E. W. Farkas


KurzbeschreibungFirst introduction to main modelling ideas and mathematical tools from mathematical finance
LernzielThis course gives a first introduction to the main modelling ideas and mathematical tools from mathematical finance. It mainly aims at non-mathematicians who need an introduction to the main tools from stochastics used in mathematical finance. However, mathematicians who want to learn some basic modelling ideas and concepts for quantitative finance (before continuing with a more advanced course) may also find this of interest.. The main emphasis will be on ideas, but important results will be given with (sometimes partial) proofs.
InhaltTopics to be covered include

- financial market models in finite discrete time
- absence of arbitrage and martingale measures
- valuation and hedging in complete markets
- basics about Brownian motion
- stochastic integration
- stochastic calculus: Itô's formula, Girsanov transformation, Itô's representation theorem
- Black-Scholes formula
SkriptLecture notes will be sold at the beginning of the course.
LiteraturLecture notes will be sold at the beginning of the course. Additional (background) references are given there.
Voraussetzungen / BesonderesPrerequisites: Results and facts from probability theory as in the book "Probability Essentials" by J. Jacod and P. Protter will be used freely. Especially participants without a direct mathematics background are strongly advised to familiarise themselves with those tools before (or very quickly during) the course. (A possible alternative to the above English textbook are the (German) lecture notes for the standard course "Wahrscheinlichkeitstheorie".)

For those who are not sure about their background, we suggest to look at the exercises in Chapters 8, 9, 22-25, 28 of the Jacod/Protter book. If these pose problems, you will have a hard time during the course. So be prepared.


Information zur Leistungskontrolle (gültig bis die Lerneinheit neu gelesen wird)
Leistungskontrolle als Semesterkurs
ECTS Kreditpunkte4 KP
PrüfendeE. W. Farkas
RepetitionDie Leistungskontrolle wird in jeder Session angeboten. Die Repetition ist ohne erneute Belegung der Lerneinheit möglich.
Prüfungsmodusschriftlich 180 Minuten
Hilfsmittel schriftlichkeine Hilfsmittel / no aiding materials allowed
Diese Angaben können noch zu Semesterbeginn aktualisiert werden; verbindlich sind die Angaben auf dem Prüfungsplan.


HauptlinkMathematical Foundations for Finance
Es werden nur die öffentlichen Lernmaterialien aufgeführt.


401-3913-01 UMathematical Foundations for Finance
Fr08:15-10:00HG D 7.1 »
Fr10:15-12:00LFW E 13 »


Keine zusätzlichen Belegungseinschränkungen vorhanden.

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