Preliminary knowledge

Good knowledge in mathematical statistics and econometrics.

Abstract

Discussion of essential mathematical valuation principles and techniques both in time-discrete and time-continuous models. Introduction and implementation of probabilistic and statistical methods. Analysis of stock, interest and commodity markets and also of the most common assets and derivatives in these markets.

Contents

1. Mathematical models for price processes in stock, interest, and commodity markets
2. Arbitrage theory and hedging strategies
3. Stochastic models for financial markets: martingales and fundamental theorems in asset pricing
4. Valuation and hedging of derivatives: European , American and exotic options
5. Incomplete markets and stochastic volatility

Literature

• N.H. Bingham & R. Kiesel, Risk Neutral Valuation, 2nd edition, Springer, 2004.
• M. Joshi, The Concepts and Practice of Mathematical Finance, CUP, 2003
• S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004

Teaching concept

Presentation, discussion

Participants

• BWL-EaF-Ma-2015 > Wahlpflichtbereich > (1st-3rd Semester, Elective) Modul "Financial Mathematics"
• ECMX-Ma-2019 > Wahlpflichtbereich > ME6 Applied Econometrics > (1st-3rd Semester, Elective) Modul "Financial Mathematics"
• LA-gbF-kbF-BK-Ma-2014 > Masterprüfung in der kleinen beruflichen Fachrichtung > Finanz- und Rechnungswesen, Steuern > Wahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern" > (1st-3rd Semester, Elective) Modul "Financial Mathematics"
• MuU-Ma-2013 > Wahlpflichtbereich III > Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive > (1st-3rd Semester, Elective) Modul "Financial Mathematics"
• VWL-Ma-2009-V2013 > Wahlpflichtbereich I > (1st-3rd Semester, Elective) Modul "Financial Mathematics"
• WiMathe-Ma-2013 > VWL-Energie > (1st-4th Semester, Elective) Modul "Financial Mathematics"