[next] [prev] [prev-tail] [tail] [up]

1.17 Advanced methods of stochastic calculus
in finance

Vorlesung:

Advanced methods of stochastic calculus
in finance

  

Dozent:

Prof. Dr. Albert N. Shiryaev

  

Zeit/Ort:

Mo, Mi 11–13, SR 127, Eckerstr. 1
01.12.2007 – 31.01.2008

  

Web-Seite:

http://www.stochastik.uni-freiburg.de/ WS-0708
  

Inhalt:

 
In this course we will present some elements of the general theory of stochastic processes and their application to finance. Among the topics covered are change of measure and change of time. Others are boundary crossing problems which are relevant for the pricing of path-dependent instruments such as barrier or lookback options. Both, martingale methods and methods based on differential equations will be used.

Literatur:

  1. J. Jacod and A. N. Shiryaev. Limit Theorems for Stochastic Processes. Springer-Verlag 1987 (oder 2. Auflage, 2003)
  2. A. N. Shiryaev. Essentials of Stochastic Finance. World Scientific 1999

Typisches Semester:

ab 5. Semester

Studienschwerpunkt:

Mathematische Stochastik und Finanzmathematik

Notwendige Vorkenntnisse:

Wahrscheinlichkeitstheorie

Sprechstunde Dozent:

n.V. über shiryaev(AT)stochastik.uni-freiburg.de in
Zimmer 227, Eckerstr. 1

[next] [prev] [prev-tail] [front] [up]