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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.
The course will take place in DOR1 (room 005) or the courtyard (depends on the weather) with the possibility of providing a zoom link for each session if necessary (e.g. some students are outside of Berlin).
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| Bemerkung |
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 |
