Vorlesung: | Futures and Options |
Dozent: | Prof. Dr. Ernst Eberlein |
Zeit/Ort: | Di 15–17, HS Weismann-Haus, Albertstr. 21 |
Übungen: | Mi 14–16, SR 125, Eckerstr. 1 |
Tutorium: | Zorana Grbac |
Web-Seite: | http://www.stochastik.uni-freiburg.de/ WS08/09 |
Inhalt:
The second revolution in mathematical finance following the Markowitz mean-variance theory of
risk and return and the capital asset pricing model, concerns the option pricing theory of Black,
Scholes and Merton from 1973 and the risk-neutral valuation theory that grew from it. In this
course we introduce financial models in discrete as well as in continuous time and explain
the basic principles of risk-neutral valuation of derivatives. Besides of futures and
standard put and call options a number of more sophisticated derivatives is introduced
as well. We also discuss interest-rate sensitive instruments such as caps, floors and
swaps.
The course, which is taught in English, is offered for the second year of the Master in Finance
program as well as for students in mathematics and economics.
Literatur:
Typisches Semester: | ab 5. Semester |
Studienschwerpunkt: | Mathematische Stochastik und Finanzmathematik |
Notwendige Vorkenntnisse: | Einführung in die Stochastik |
Sprechstunde Dozent: | Mi 11–12 Uhr; Zi. 247, Eckerstr. 1 |
Sprechstunde Assistentin: | Di 11–12 Uhr; Zi. 248, Eckerstr. 1 |