Warning! The directory is not yet complete and will be amended until the beginning of the term.
040648 FK KFK FD: Financial Services (Applications) (2013S)
Continuous assessment of course work
Labels
Vorbesprechung und Beginn: Dienstag, 7. Mai, 16:00 - 19:00 Uhr, EDV Labor 6, BWZ, KG
Registration/Deregistration
Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
- Registration is open from Sa 09.02.2013 09:00 to Fr 22.02.2013 14:00
- Registration is open from We 27.02.2013 09:00 to Th 28.02.2013 17:00
- Deregistration possible until Th 14.03.2013 23:59
Details
max. 50 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
- Tuesday 07.05. 16:00 - 19:00 EDV-Labor 6
- Tuesday 14.05. 16:00 - 19:00 EDV-Labor 6
- Thursday 16.05. 16:00 - 19:00 EDV-Labor 6
- Thursday 23.05. 16:00 - 19:00 EDV-Labor 6
- Tuesday 28.05. 16:00 - 19:00 EDV-Labor 6
- Tuesday 04.06. 16:00 - 19:00 EDV-Labor 6
- Thursday 06.06. 16:00 - 19:00 EDV-Labor 6
Information
Aims, contents and method of the course
Introduction to programming, Random Number and Random Variables Generation, Martingale measure, Arbitrage free pricing, Stopping times, Brownian Motion, Geometric Brownian Motion, Short Rate Models, Forward Rate Models, Equity Models, Calibration of Models, Optimization Methods, Greeks (finance), Derivatives Pricing
Assessment and permitted materials
Homework, Presentation, Project, Final exam
Minimum requirements and assessment criteria
Understanding of derivatives pricing
Implementation by programming
Implementation by programming
Examination topics
Lecture, Experiential learning, Discussion, Problem Sets, Reciprocal teaching, Study group
Reading list
Stefan Ebenfeld: Grundlagen der Finanzmathematik
Paul Glasserman: Monte Carlo Methods in Financial Engineering
Course materials
Paul Glasserman: Monte Carlo Methods in Financial Engineering
Course materials
Association in the course directory
Last modified: Mo 07.09.2020 15:29