2095 VGSF Course: Continuous Time Finance (a)
Klaus Pötzelberger
This course part of the VGSF-programme. The course is based on the book 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
Tomas Börk: Arbitrage Theory in Continuous Finance,
2nd ed., Oxford University Press, Oxford, 2004.
Last change: 2006-2-28 by K.P.