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Course title:
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Discrete and Continuous Time in Finance
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Professor(s):
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Prof. Freddy Delbaen
Prof. Thorsten Rheinländer
Prof. Uwe Schmock
Prof. Philipp J. Schönbucher
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Total hours of lectures and seminars:
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14 x 2 = 28 hours
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Date and Time:
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Starting from 28th of October
2002
Mondays 15:00 – 17:00
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City:
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Zurich
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Room:
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ETHZ, HG
D3.2
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Contents of the course:
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- Subjective and synthetic probability measures
- Bank account, numéraire
- Stock price processes, discounting
- Trading
strategies, self-financing property
- Set
of discounted trading gains
- Definition
of arbitrage
- Localization
of arbitrage in time
- Price
functionals
- Equivalent
martingale measures (with bounded density)
- Theorem
of Dalang, Morton and Willinger
- Minimal
and maximal prices of contingent claims
- Markovian
Models
- Existence
of martingale measures preserving the Markov property
- Call
and put options in the binomial model
- Passage
to to limit in a scaled binomial model
- Derivation
of the Black-Scholes formula
- Call-put
parity
- Complete
markets and uniqueness of the equivalent martingale measure
- American
options
- Forward
contracts, hedge
- Futures
and their relation to forwards
- Distribution
of certain hitting times of Brownian motion with drift
- Black-Scholes
option-pricing theory
- European and American options
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