Time and place
Lecture: Mo, 10-12h, HS 3042, KG III
Content
This course covers an introduction to financial markets and products. Besides futures and standard put and call options
of European and American type we also discuss interest-rate sensitive instruments such as swaps.
For the valuation of financial derivatives we first introduce financial models in discrete time as the Cox--Ross--Rubinstein
model and explain basic principles of risk-neutral valuation. Finally, we will discuss the famous Black--Scholes model
which represents a continuous time model for option pricing.
Previous
knowledge
Required: Elementary Probability Theory~I
Usability
Elective (Option Area) (2HfB21)
Compulsory Elective in Mathematics (BSc21)
Supplementary Module in Mathematics (MEd18)
Applied Mathematics (MSc14)
Mathematics (MSc14)
Concentration Module (MSc14)
Elective (MSc14)
Elective in Data (MScData24)