Statistics of Financial Markets I

Guest Instructor: 
P. Majer
Time I: 
Monday,
04:00pm to 08:00pm
Venue I: 
HU Berlin, Spandauer Str. 1, Room 23
Description: 

The course starts with an introduction into the basic concepts of option pricing and its probabilistic foundations. Next, stochastic processes in discrete time are presented and the Wiener process is introduced. Itô's Lemma is derived and the Black-Scholes (BS) Option model is presented leading to the analytic solution for the BS Option price. Numerical solutions via a binomial or trinomial tree constructions are discussed in detail.

Literature:

Franke, J., Härdle, W., and Hafner, C. (2011) Statistics of Financial Markets: an Introduction. 3rd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-16520-7 (599 p)
Härdle, W., Hautsch, N. and Overbeck, L. (2009) Applied Quantitative Finance. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p)
Hull (2005) Options, Futures, and Other Derivatives. 6th ed., Prentice Hall. ISBN 0-13-149908-4 (816 p)
Härdle, W., Simar, L. (2007) Applied Multivariate Statistical Analysis. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 3-540-72243-4 (456 p)
Cizek, P., Härdle, W., Weron, R. (2011) Statistical Tools for Finance and Insurance. 2nd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-18061-3 (420 p)

Exam:
oral

Credits: 
9.00
Program: 
Semester: 
Fall 2013
Affiliation: 
Humboldt-Universität zu Berlin
End date of the whole course: 
Saturday, February 15, 2014 - 8:00pm