Topics Course Continuous Time Finance

Lecture and Talks

taught/organized by Prof. Dr. E. Lütkebohmert-Holtz

• Mondays, 10:00-12:00, HS 1221, KG I

This topics course provides a continuation and natural extension of the lecture “Futures and Options” from the summer term 2015 which mainly dealt with the valuation of derivatives in discrete time. In this course, we introduce financial models in continuous time and discuss some of their numerous applications.

The first part of the course consists of a lecture introducing the mathematical methods and concepts that are necessary for analysing continuous time models of financial markets. For this part some exercise sessions will be included in the lecture which should be solved and presented by the participants of the course.

In the second part, participants can work in groups of 2-3 students on various topics ranging from pricing of exotic options, interest rate derivatives, or credit risky instruments, analysing dynamic hedging strategies to more theoretical problems as studying the implications of market incompleteness in continuous time.

The grouping of the participants and the assigning of topics for the talks will take place within the first lecture on Monday, October 19, 2015.

The topics course accounts for 6 ECTS points.

For more detailed information on this topics course, please click here.

Registration/Application

Since the number of topics/talks, and thus, also the number of potential participants is limited, we ask interested students to

pre-register until September 30, 2015 !

Please send your application for this topics course (including a short cv and a transcript of performance (Leistungsübersicht)) via email to our secretary, Mrs. Manzoni  (claudia.manzoni@finance.uni-freiburg.de).

This topics course is open for students of M.Sc. Economics, M.Sc. VWL as well as  M.Sc. Mathematics.

In M.Sc. Economics, the course can be credited in the profile "Finance".

In M.Sc. VWL, the course can be credited for Accounting, Finance, and Taxation (new examination regulations, valid from winter term 2014/2015 onwards), BWL or Quantitative Methods (examination regulations from 2011)

For students of M.Sc. Mathematics (especially within the profile "Finanzmathematik"), the topics course can be credited as a seminar.

Exam

A registration for and participation in the final exam is only mandatory for students who want this course to be credited as topics course (this only applies to students of M.Sc. Economics or M.Sc. VWL)!

If this topics course should just be credited as seminar, a participation in the final exam is not necessary.

The exam is scheduled for February 29th, 2016, from 12:00-13:00 in lecture hall 1098. Please keep informed about potential changes through the website of the examination office.

Please observe that for topics courses there will only be a first exam, but no retake exam!

For details on the registration and the registration period for the first exam, please also look at the websites of the examination offices of Economics for further information!