Syllabus

Titel
5497 Continuous Time Finance
LV-Leiter/innen
o.Univ.Prof. Dr. Josef Zechner, Prof. Dr. Tomas Björk
Kontakt
  • LV-Typ
    PI
  • Semesterstunden
    2
  • Unterrichtssprache
    Englisch
Anmeldung
01.02.2019 bis 28.02.2019
Anmeldung über LPIS
Hinweise zur LV
Planpunkt(e) Doktorat/PhD
Termine
Wochentag Datum Uhrzeit Raum
Montag 06.05.2019 10:00 - 15:00 D4.4.008
Dienstag 07.05.2019 10:00 - 15:00 D4.4.008
Mittwoch 08.05.2019 10:00 - 15:00 D4.4.213
Donnerstag 09.05.2019 10:00 - 15:00 D4.4.008
Montag 13.05.2019 10:00 - 15:00 D4.4.008
Dienstag 14.05.2019 10:00 - 15:00 D4.4.008
Mittwoch 15.05.2019 10:00 - 15:00 D4.4.213

Inhalte der LV

1. Extensions of the Black-Scholes model: Dividends, currency derivatives.

2. Incomplete markets: Pricing in a factor model, the market price of risk.

3. The martingale approach to arbitrage pricing. Martingale measures. The first and second fundamental theorems.

4. Interest rate theory: Short rate models, affine term structures, inversion of the yield curve, forward rate models, the HJM approach.

5. Change of numeraire: The normalized economy, pricing in a new numeraire, forward measures, the general option pricing formula, forward and futures contracts.

6. LIBOR and swaption market models.

Slides

Slides II

Lecture notes

Exam

Lernergebnisse (Learning Outcomes)

The objective of the course is to present the fundamentals of arbitrage theory for pricing contingent claims in continuous time.

Lehr-/Lerndesign

Whiteboard, open discussions, presentations by students. Lecture notes are available.

Leistung(en) für eine Beurteilung

Grades are based on the (quality of) solution of exercises, presentations, and a final written test.

Teilnahmevoraussetzung(en) und Vergabe von Wartelistenplätzen

More precisely the students are assumed to have basic knowledge of the following mathematical areas:

• Measure and integration theory, including the Radon Nikodym theorem

• Stochastic differential equations

• The Kolmogorov backward equation

• The Feynman-Kac representation Theorem• The Ito formula

• The Girsanov Theorem

• The stochastic integral representation Theorem for Wiener martingalesThe students are also assumed to be familiar with elementary theory for arbitrage free pricing and hedging of European derivatives within the Black-Scholes model.

Literatur

1 Autor/in: Tomas Björk:
Titel: "Arbitrage Theory in Continuous Time",

Verlag: Oxford University Press
Auflage: 2nd ed.
Jahr: 2004

Erreichbarkeit des/der Vortragenden

Office hours by appointment email

Sonstiges

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Zuletzt bearbeitet: 18.02.2019



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