Times and Location:
Lectures will be Monday 10-12; Tuesday 8-10 in He120.
First Lecture Tuesday, 14.10.2003
This course covers the fundamental principles and techniques of ﬁnancial mathematics in discrete-and continuous-time models. The focus will be on probabilistic techniques which will be discussedin some detail. Speciﬁc topics are
Classical Asset Pricing: Mean-Variance Analysis, CAPM, Arbitrage.
Martingale-based stochastic market models: Fundamental Theorems of Asset Pricing.
Contingent Claim Analysis: European, American and Exotic Options.
Interest Rate Theory: Term Structure Models, Interest Rate Derivatives.
Probability Theory, Calculus, Linear Algebra
N.H.Bingham & R.Kiesel, Risk Neutral Valuation, Springer 1998.
H.F¨ollmer & A.Schied: Stochastic Finance: An Introduction in Discrete Time, De Gruyter2002.
J.Hull: Options, Futures & Other Derivatives, 4th edition, Prentice Hall, 1999.
R.Jarrow & S.Turnbull, Derivative Securities, 2nd edition, 2000.
Tuesday 10-11. He 230course webpage: www.mathematik.uni-ulm.de/ﬁnmathemail: firstname.lastname@example.org.