Syllabus
Title
0753 Quantitative Methods
Instructors
Univ.Prof. Dr. Rüdiger Frey
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
09/01/15 to 09/30/15
Registration via LPIS
Registration via LPIS
Notes to the course
Subject(s) Doctoral/PhD Programs
Dates
Day | Date | Time | Room |
---|---|---|---|
Wednesday | 10/14/15 | 09:00 AM - 11:00 AM | D4.4.008 |
Wednesday | 10/21/15 | 09:00 AM - 12:00 PM | D4.4.008 |
Wednesday | 10/28/15 | 09:00 AM - 12:00 PM | D4.4.008 |
Wednesday | 11/04/15 | 09:00 AM - 12:00 PM | D4.4.008 |
Wednesday | 11/11/15 | 09:00 AM - 12:00 PM | D4.4.141 |
Wednesday | 11/18/15 | 09:00 AM - 12:00 PM | D4.4.008 |
Wednesday | 11/25/15 | 09:00 AM - 12:00 PM | D4.4.008 |
Wednesday | 12/02/15 | 09:00 AM - 12:00 PM | D4.4.008 |
Wednesday | 12/09/15 | 09:00 AM - 12:00 PM | D4.4.008 |
Wednesday | 12/16/15 | 09:00 AM - 12:00 PM | D4.4.141 |
The course gives an introduction to themathematical techniques needed for quantitative finance and derivative asset analysis.
The course consists of two parts.
Part 1: Mathematical Finance in Discrete Time: The model, selffinancing strategies and arbitrage, martingales, fundamental theorem of asset prices, binomial model and convergence to Black Scholes, American optionsand optimal stopping,. This part will also contain a revision of the necessary tools from probability theory such as
conditional expectations.
Part 2: Basics of Continuous-Time Finance: Stochastic processes and stopping times, Brownian motion, quadratic variation, pathwise Ito calculus, Black Scholes model, PDE approach to derivative pricing.
Reasonable background in probability theory comparable to the course Probability in the mazter Quantitative Finance at WU.
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Last edited: 2015-06-16
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