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Probability Concepts for Financial Markets

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Probability Concepts for Financial Markets

The course is given by Dr. Sascha Desmettre.

Supervision of talks: Talks will be additionally supervised by Dorothee Westphal (48-611).

Lectures:

Monday, October 16th until Friday, October 20th in 48-538

Time schedule

October 16th until October 20th, each day:

  • 09:00 - 10:30 Lecture
  • 10:30 - 12:00 Self studies, solving problems
  • 12:00 - 13:30 Questions plus discussion of selected problems

Presentations:

Room: 48-519

Thursday, November 2nd: 08:00 - 13:30

Friday, November 3rd: 08:00 - 13:30

News

Corrected reports now available for download.

Your certificates will be issued within the next days.

General Information

The course 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 approximation
  • Optimal stopping and American options

The course consists of lectures, tutorials and a seminar part.

Talks and reports: Each participant has to present a small topic within the field of mathematical finance or probability which relates to the course. The topics will be assigned during the lectures. In addition each participant is required to hand in a report about her/his final presentation. The report is due on Monday, October 30, and has to be sent by E-mail to all supervisors (Sascha Desmettre and Dorothee Westphal).

General info for the seminar presentations: The talks should have a length of approximately one hour each(!). Please note that 45 minutes is a strict lower bound for the length of the talk (without questions). A beamer and a blackboard will be available.

Lecture notes will be available for download.

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