Inhalt
| Kommentar |
Dieses Modul wird im WiSe 21/22 nur mit 4 SWS und 6 LP angeboten. |
| Literatur |
Steven E Shreve: Stochastic Calculus for Finance II. Springer. |
| Voraussetzungen |
Good knowledge of measure theory and probability theory. |
| Leistungsnachweis |
oral exam |
| Lerninhalte |
Contents
- Introduction into Stochastic Calculus (approx. 6 weeks)
- Black-Scholes model and generalizations (e.g. Volatility model)
- Portfolio risk assessment
- Numerical methods (e.g. Methods for solving PDEs)
- Dynamic programming applications
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