Advanced Financial Mathematics (Paulsen)
Tuesdays, 08:30 - 10:00 a.m. (M5)
The lectures will take place in presence.
|PD Dr. Volkert Paulsen
This Master course gives an introduction to financial mathematics in continuous time. Starting with the famous Black-Scholes Model the basic principles for pricing derivatives in financial markets are explained. After introducing resp. repeating some basic knowledge of stochastic analysis a detailed investigation of models driven by a Wiener-process is provided. The therefore needed concepts of no arbitrage, hedging, equivalent martingale measure etc. will be thoroughly introduced and applied to pricing of options and other derivatives. A further main topic is the modelling of Bond markets and the pricing of fixed income securities. Short-rate models as the Vasicek-, CIR and Hull White model together with Libor Market models are presented and analysed.
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|Weekly exercises will be given and discussed by the lecturer in a separate meeting.
|A degree relevant examination can be provided by attending the tutorials and taking an oral examination.
The required coursework is fulfilled if a suitable part of the tutorials are solved successfully.