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Prof. Dr. Christian Bender
This lecture course covers the mathematical theory of financial markets in discrete time, while also introducing some basic continuous-time interest rate models.
- Utility maximization in general one-period models; Capital Asset Pricing Model
- Arbitrage, hedging, option pricing and the fundamental theorems of asset pricing in general one-period models
- Multi-period models and self-financing portfolios
- The fundamental theorems of asset pricing in multi-period models.
- The Cox-Ross-Rubinstein model and the Black-Scholes formula
- Early-exercise options
- Interest rate derivatives (e.g., forward rate agreements, swaps, caps, swaptions)
- Short rate models
- Tuesdays, 12:15-1:45pm, Hörsaal III (building E2 5)
- Thursdays, 8:30-10am, Hörsaal III (building E2 5)
Fridays, 8:30-10:00, Seminarraum 9 (building E2 4). Start date: 11/03.
The course (lectures and tutorials) will be taught in English, unless all participants agree on German. The oral exam can be taken in English or in German.
- Stochastik I
- Stochastics II (can be attended in parallel)