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Probability Concepts for Financial Markets

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Probability Concepts for Financial Markets

News

Corrected Reports now online.

Lecture Notes up to Section 5 now.

 

General Information

The lectures and tutorials take place from October 10th until October 14th with a final presentation day on October 28th. The course is jointly organized by Prof. Dr. Jörn Sass and Dr. Sascha Desmettre. It is meant to build a bridge between the basics of probability theory and discrete-time mathematical finance to continuous-time mathematical finance. It will cover the following topics:

  • Conditional expectations and financial markets
  • Stopping times and financial products
  • Change of measure and pricing 
  • Brownian motion and binomial models
  • Optimal stopping and American options

Final Presentations

Each participant will have to present a small topic within the field of mathematical finance which suits to the contents of the course. The topics will be assigned during the lectures and will be presented on October 28th.

Final Report

Each participant will be required to hand in a report about her/his final presentation. The report is due on Wednesday, October 26th and has to be sent by E-Mail to both instructors. For the preparation of the report the time period from October 15th until October 25th is reserved.

Lecture Notes

Lecture notes covering the topics of the course will be made available for download.

Schedule

The course will consist out of lectures, self studies, tutorials, a final presentation and a final report as detailed below.

Lectures:

Monday, October 10th - Friday, October 14th: 09:00 - 12:00

Self Studies (including Exercises):

Monday, October 10th - Friday, October 14th: 13:00 - 15:00 

Tutorials:

Monday, October 10th - Friday, October 14th: 15:00 - 17:00 

Self Studies for the Final Presentations:

Period October 15th - October 27th

Final Presentations:

Friday, October 28th: 09:00 - end

Self Studies for the Final Reports:

Period October 15th - October 25th

 

Downloads:

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