Stochastic Calculus and Finance
- Typ: Vorlesung
- Lehrstuhl: Statistik, Ökonometrie und Mathematische Finanzwirtschaft
- Semester: WS 2012/2013
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Ort:
Geb. 20.13, 006 (V)
Geb. 20.13, 006 (Ü) -
Zeit:
Freitag, 09:45 – 11:15 (V)
Freitag, 11:30 – 13:00 (Ü) - Beginn: 19.10.2012
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Dozent:
Kim
- SWS: 4
- LVNr.: 2521331
- Prüfung: Mündlich, nach Vereinbarung
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Hinweis:
To be held in English
Inhalt
The course will provide rigorous yet focused training in stochastic calculus and mathematical finance. Topics to be covered:
1. 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 tempered stable processes. Levy processes.
2. 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), Option pricing with tempered stable and Levy-Processes and volatility clustering, Optimal Portfolio and Consumption Choice (Stochastic Control and Merton continuous time optimization problem), Equilibrium models, Consumption-Based CAPM, Numerical Methods.Literatur
1. Dynamic Asset Pricing Theory, Third Edition by Darrell Duffie, Princeton University Press, 1996
2. Stochastic Calculus for Finance II: Continuous-Time Models by Steven E. Shreve, Springer, 2003
3. An Introduction to Stochastic Integration (Probability and its Applications) by Kai L. Chung , Ruth J. Williams, Birkhäuser,
4. Methods of Mathematical Finance by Ioannis Karatzas, Steven E. Shreve, Springer, 1998
5. Kim Y.S. ,Rachev S.T. ,Bianchi M-L, Fabozzi F. Financial market models with Levy processes and time-varying volatility, Journal of Banking and Finance, 32/7, 1363-1378, 2008.