Stochastic Calculus and Finance
- Typ: Vorlesung
- Lehrstuhl: Lehrstuhl für Ökonometrie und Statistik
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Ort:
Block 1:
Do, 14.11., 9:45 - 13:00 Uhr:
Geb. 20.13, Raum 001
Do, 14.11., 14:00 - 19:00 Uhr:
Geb. 20.13, Raum 006
Fr,15.11., 9:45 - 19:00 Uhr,
Geb. 20.11, Raum 004
(= Promotionsraum, rechts ganz hinten)Block 2:
28. und 29.11.2013,
jeweils 9:45 - 19:00 Uhr
Geb. 20.11, Raum 004 (Promotionsraum)Block 3:
13.12.13, 9:45 - 13:00 Uhr:
Geb. 20.13, Raum 001
13.12.13, 14:00 - 19:00 Uhr:
Geb. 20.20 (RZ), Raum 171.1
14.12.13, 9:45 - 19:00 Uhr:
Geb. 20.13, Raum 001Block 4:
30. und 31.01.2014,
jeweils 9:45 - 19:00 Uhr
Geb. 20.12, Raum 002 -
Zeit:
Blockseminar, Räume und Zeiten der nächsten Blöcke werden an dieser Stelle in Kürze bekanntgegeben.
- Beginn: 14.11.2013
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Dozent:
Dr. Safarian
- SWS: 2
- LVNr.: 2521331
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Hinweis:
Inhalt
The course will provide rigorous yet focused training in stochastic calculus and mathematical finance. Topics to be covered:
- Stochastic Calculus: Stochastic Processes, Brownian Motion and Martingales, Stopping Times, Local martingales, Doob-Meyer Decomposition, Quadratic Variation, Stochastic Integration, Ito Formula, Girsanov Theorem, Jump-diffusion Processes, Stable and Levy processes.
- Mathematical Finance: Pricing Models, The Black-Scholes Model, State prices and Equivalent Martingale Measure, Complete Markets and Redundant Security Prices, Arbitrage Pricing with Dividends, Term-Structure Models (One Factor Models, Cox-Ingersoll-Ross Model, Affine Models), Term-Structure Derivatives and Hedging, Mortgage-Backed Securities, Derivative Assets (Forward Prices, Future Contracts, American Options, Look-back Options), Incomplete Markets, Markets with Transaction Costs, Optimal Portfolio and Consumption Choice (Stochastic Control and Merton continuous time optimization problem, CAPM), Equilibrium models, Numerical Methods.
Literatur- Dynamic Asset Pricing Theory, Third Edition by D. Duffie, Princeton University Press, 1996
- Stochastic Calculus for Finance II: Continuous-Time Models by S. E. Shreve, Springer, 2003
- Stochastic Finance: An Introduction in Discrete Time by H. Föllmer, A. Schied, de Gruyter, 2011
- Methods of Mathematical Finance by I. Karatzas, S. E. Shreve, Springer, 1998
- Markets with Transaction Costs by Yu. Kabanov, M. Safarian, Springer, 2010