Details

Homework has to be handed in before the next class.
The midterm exam date is set for the 29th of October 2014, and will require the material covered during the lectures from 1 to 6.

Lecture 1 (17th of Sept): Non-mathematical notions of finance.
Lecture 2 (24th of Sept): Primer on the binomial model. Discrete processes, measurability and other mathematical artefacts.
Lecture 3 ( 1st of Oct): The binomial model I. Pricing european options and the risk neutral measure. Absence of opportunity of arbitrage. In one period.
Lecture 4 ( 8th of Oct): Martingale tools.
Lecture 5 ( 15th of Oct): The binomial model II. Multiperiod using martingale tools.
Lecture 6 ( 22nd of Oct): American options I.
Lecture 7 ( 29nd of Oct): American options II. Midterm. No exercise session.
Lecture 5 ( 5th of Nov): Midterm correction.

WARNING:
The course material will slowly move to the teaching section of my personal webpage

Exam

Exam

Module: 11.02.2015 9:00-12:00, Room: Y27H25 Seats: 50, Type: written exam
Repetition: 16.06.2015 13:00-14:30, Room: Y27H28 Seats: 50, Type: oral exam