|
Lecturer |
Prof. Dr. H. Mete Soner |
Lectures |
Wednesday, |
10–12, | in HG E 33.1, |
Friday, | 8–10, | in HG D 5.2. | |||
Coordinator |
Max Reppen |
Exercises |
Wednesday, |
14-15, | in HG F 26.3, |
15-16, | in HG E 21. |
Course code:
401-3888-00L
First lecture:
Wednesday, February 18.
First exercise class:
Wednesday, February 25. Additional class and rooms are to be determined.
Course attendance confirmation (Testat) requirements:
No.
Exercises:
Click here for information on the exercises.
Question times ("Präsenz"):
Mondays and Thursdays, 12:00–13:00, in HG G 32.6.
Question times during vacation ("Ferienpräsenz"):
see Ferienpräsenz
The latest questions for preparing for the final exam can be found here, and the latest solutions here.
A course syllabus can be found here.
This course focuses on discrete time financial markets and requires a basic knowledge of measure theoretic probability theory and will be offered every year in the Spring semester. The textbook by Föllmer and Schied or lecture notes similar to that will be used.
This course is the first of a two sequence courses on mathematical finance. The second course Mathematical Finance, (MFII) 401-4889-00 focuses on continuous time models. It is advisable that this course is taken prior to MFII.
Every Monday and Thursday assistants will be available to answer questions related to the course. For detailed information about place and time, please follow this link.
The textbook by Föllmer and Schied will be followed and lecture notes will be provided when needed.
Lecture | Date | — Section(s) in Föllmer and Schied (FS) or Topic — |
Arbitrage: One Step Models | ||
1 | 18.02.2015 | Sections 1.1, 1.2 in FS |
2 | 20.02.2015 | Sections 1.1, 1.2 in FS |
3 | 25.02.2015 | Sections 1.3, 1.4 in FS |
4 | 27.02.2015 | Sections 1.3, 1.4 in FS |
5 | 4.03.2015 | Sections 1.5, 1.6 in FS |
6 | 6.03.2015 | Section 1.6 in FS |
Arbitrage: Multi Step Models | ||
7 | 11.03.2015 | Sections 5.1, 5.2 in FS |
8 | 13.03.2015 | Sections 5.1, 5.2 in FS |
9 | 18.03.2015 | Sections 5.3, 5.4 in FS |
10 | 20.03.2015 | Sections 5.1, 5.2 in FS |
11 | 25.03.2015 | Section 5.5 in FS |
12 | 27.03.2015 | Section 5.7 in FS |
Super-replication | ||
13 | 1.04.2015 | Chapter 7 |
14 | 15.04.2015 | Chapter 7 |
15 | 17.04.2015 | Chapter 7 |
Utility and Preferences | ||
16 | 22.04.2015 | Chapter 2 |
17 | 24.04.2015 | Chapter 2 |
18 | 29.04.2015 | Chapter 2 |
Equilibrium | ||
19 | 6.05.2015 | Chapter 3 |
20 | 8.05.2015 | Chapter 3 |
21 | 13.05.2015 | Chapter 3 |
Utility Maximization - Merton problem | ||
22 | 15.05.2015 | Lecture Notes |
23 | 20.05.2015 | Lecture Notes |
24 | 22.05.2015 | Lecture Notes |
25 | 27.05.2015 | Lecture Notes |
26 | 29.05.2015 | Lecture Notes |
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