Vorlesung: Mo 14:15 - 15:45 und Di 11:45 - 13:15 via webex-meetings
Übung: Mo 16:00 - 17:30 via webex-meetings
Bitte melden Sie sich im Stud.IP für diese Veranstaltung an.
Aktuell: Die Noten der Klausur wurden in das Prüfungssystem eingetragen.
Klausur-Einsicht: Donnerstag 25. März 16:30 - 18:00 Uhr im A131
Material zur Vorlesung: Nach einer kurzen Einleitung "Was sind Finanz-Derivate oder Optionen?" sollen folgende Themen behandelt werden:
Chapter 0: The Main Idea: Replication of Financial Derivatives
Chapter 1: Trading Strategies
Chapter 2: The Binomial Model
Chapter 3: Real World and Risk Neutral Probabilities
Chapter 4: Brownian Motion, Wiener Measure and the Black-Scholes Model
Chapter 5: The Black-Scholes Model as Continuous Time Limit of the Binomial Model
Chapter 6: Price and Greeks of Standard Options
Chapter 7: The Black-Scholes Equation
Chapter 8: Continuous Time Calculus and the Ito-Formula
Chapter 9: The Risk Neutral Pricing Measure for the Black-Scholes Model
Wöchentliches Material:
week1.pdf PayoffReplication.xlsm
week2a.pdf week2b.pdf
week3a.pdf week3b.pdf
week4a.pdf week4b.pdf week4a-examples.xlsx
week5a.pdf week5b.pdf
week6.pdf ExcelVBA-Uebung10.pdf ExcelVBA-Loesung10.xlsm
week7a.pdf week7b.xlsm
week8a.xlsm week8b.xlsm
week9a.pdf week9b.pdf week9.xlsm
week10a.pdf week10b.pdf
week11a.pdf week11b.pdf
week12a.pdf week12b.pdf
week13a.pdf week13b.pdf Hedge-Simulation.xlsm
week14a.pdf
Alle Kapitel:
Finanzmathematik I + II