Kiesel-Financial mathematics

Kiesel-Financial mathematics

Times and Location: Lectures will be Monday 10-12; Tuesday 8-10 in He120. First Lecture Tuesday, 14.10.2003 Content.

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 tahlil, CAPM, Arbitrage. ² Martingale-based stochastic market models: Fundamental Theorems of Asset Pricing.

² Contingent Claim tahlil: European, American and Exotic Options. ² Interest Rate Theory: Term Structure Models, Interest Rate Derivatives. Pre-requisites. Probability Theory, Calculus, Linear Algebra Literature.

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 2002.

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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