2095 VGSF Course: Continuous Time Finance (a)

Klaus Pötzelberger


This course part of the VGSF-programme.

The course is based on the book
Tomas Börk: Arbitrage Theory in Continuous Finance, 2nd ed., Oxford University Press, Oxford, 2004.

13/04/2006: Chapter 5. Stochastic differential equations. Exercises.

14/04/2006: Chapter 5. Partial differential equations. Exercises.

15/04/2006: Chapter 6. Portfolio dynamics. Chapter 7. Arbitrage pricing, introduction.

16/04/2006: Chapter 7. BS-model, risk neutral evaluation. Exercises.

20/04/2006: Chapter 7. BS-model, options, volatility, american options. Exercises.

21/04/2006: Chapter 8. Completeness and hedging. Exercises.

22/04/2006: Chapter 9. Parity, greeks, delta and gamma hedging. Exercises.

Contact: Tel.: 01/31336/5052. Klaus.Poetzelberger@wu-wien.ac.at

Last change: 2006-2-28 by K.P.