In case that the course cannot not be held in the class room, the course will be switched to distance learning. Exams can be organized as oral exam via teams , assignments are anyhow remote take home exams.
|Donnerstag||22.10.2020||15:30 - 18:30||D4.0.019|
|Donnerstag||29.10.2020||14:00 - 17:00||D4.0.019|
|Donnerstag||05.11.2020||14:00 - 17:00||Online-Einheit|
|Donnerstag||12.11.2020||14:00 - 17:00||Online-Einheit|
|Donnerstag||19.11.2020||14:00 - 17:00||Online-Einheit|
|Donnerstag||26.11.2020||14:00 - 17:00||Online-Einheit|
|Donnerstag||03.12.2020||14:00 - 17:00||Online-Einheit|
|Donnerstag||10.12.2020||14:00 - 17:00||Online-Einheit|
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
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, HJB equation and stochastic control.
Attendance requirements will be decided on short notice, depending on the devlopment of the COvid 19 crisis