The students learn the basic concepts of option pricing and its probabilistic foundations and stochastic processes in discrete time. Topics: Financial derivative, Option management, Basic concepts of probability theory, Stochastic processes in discrete time, Stochastic Integrals and differential equations, Black-Scholes option pricing model, Binomial model for European options and American options, Exotic options and interest rate derivatives. As a part of the course, an obligatory trip to the ECB European Central Bank will be organized.
StO/PO MA 2016: 6 LP, Modul: "Statistics of Financial Markets"
StO/PO MEMS 2016: 6 LP, Modul: "Statistics of Financial Markets", Major: Quantitative Methods
Die Veranstaltung wurde 7 mal im Vorlesungsverzeichnis WiSe 2020/21 gefunden: