Modul

Written exam of 2h.

Students are able to

• understand, describe and use fundamental notions and techniques of modern discrete time finance,
• use specific probabilistic techniques,
• analyze mathematically economical questions in discrete option pricing and optimization,
• work self-organized and in a reflective manner.

none

• Finite financial markets
• The Cox-Ross-Rubinstein-model
• Limit to Black-Scholes
• Characterizing no-arbitrage
• Characterizing  completeness
• Incomplete markets
• American options
• Exotic options
• Portfolio optimization
• Preferences and stochastic dominance
• Mean-Variance portfolios
• Risk measures

The content of the module „Probability theory“ is strongly recommended.

Total workload: 240 hours

Attendance: 90 h

• lectures and examination

Self studies: 150 h

• follow-up and deepening of the course content,
• literature study and internet research on the course content,
• preparation for the module examination