Discrete Time Finance (FIM)

What it is about

You learn the fundamentals of mathematical financial modeling in discrete time. The module covers one- and multi-period financial markets, absence of arbitrage, market completeness, as well as models such as the binomial and Cox–Ross–Rubinstein model. At the end you can evaluate derivative financial products and develop hedging strategies in discrete models.

What you will be able to do

• Understand discrete financial market models (one- and multi-period)
• Recognize absence of arbitrage and market completeness
• Pricing of derivative claims
• Replicate and hedge derivatives
• Apply the Binomial/Cox–Ross–Rubinstein model

What the module consists of

• VorlesungPresentation of theory and proofs, introduction to models
• ÜbungTheoretical and computer-oriented exercises for deepening and application

Teaching method

• Vorlesung mit Folien und TafelExplanation of content, derivation and proof presentation
• Übungssitzungen (theoretisch und computerorientiert)Application of theory, teamwork, simulation of price processes and calculation of derivative prices
• Empfohlenes SelbststudiumDeepening through literature and lecture material