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Module

Financial Mathematics

Name in diploma supplement
Financial Mathematics
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students

  • know the most important mathematical modelling techniques of financial markets and can apply them to real word problems.
  • are able to value simple derivative assets and can apply the main principles of risk management.
  • are able to solve basic risk management tasks arising in financial institutions and the energy industry.
Relevance

The discussed models and the used quantitative techniques are common standard and frequently used in financial institutions and the energy industry.

Module Exam

Written exam (generally 90 minutes).

Usage in different degree programs
  • BWL-EaF-Ma-2015 Wahlpflichtbereich 1st-3rd Sem, Elective
  • LA-gbF-kbF-BK-Ma-2014 Masterprüfung in der kleinen beruflichen Fachrichtung Finanz- und Rechnungswesen, Steuern Profil "Finanzdienstleistungen" in der kleinen beruflichen Fachrichtung Wahlpflichtbereich im Profil "Finanzdienstleistungen" 1st-3rd Sem, Elective
  • Mathe-Ma-2008 BWL-M III Finanzen & Banken Katalog BWL C 1st-4th Sem, Elective
  • Mathe-Ma-2008 BWL-M IV Energy & Finance Katalog BWL D 1st-4th Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich I 1st-3rd Sem, Elective
  • WiMathe-Ma VWL-Energie 1st-4th Sem, Elective
Elements
Name in diploma supplement
Lecture Financial Mathematics
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
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 Modul "Financial Mathematics" 1st-3rd Sem, Elective
  • LA-gbF-kbF-BK-Ma-2014 Masterprüfung in der kleinen beruflichen Fachrichtung Finanz- und Rechnungswesen, Steuern Profil "Finanzdienstleistungen" in der kleinen beruflichen Fachrichtung Wahlpflichtbereich im Profil "Finanzdienstleistungen" Modul "Financial Mathematics" 1st-3rd Sem, Elective
  • Mathe-Ma-2008 BWL-M III Finanzen & Banken Katalog BWL C Modul "Financial Mathematics" 1st-4th Sem, Elective
  • Mathe-Ma-2008 BWL-M IV Energy & Finance Katalog BWL D Modul "Financial Mathematics" 1st-4th Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive Modul "Financial Mathematics" 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich I Modul "Financial Mathematics" 1st-3rd Sem, Elective
  • WiMathe-Ma VWL-Energie Modul "Financial Mathematics" 1st-4th Sem, Elective
Lecture: Financial Mathematics (WIWI‑C0824)
Name in diploma supplement
Exercises Financial Mathematics
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowledge in mathematical statistics and econometrics.

Abstract

Recap and practice concepts and methods covered in the lecture.

Contents
  • Examples of asset valuation
  • Statistical methods and data analysis
  • Implementation of theoretical concepts within the context of programming tasks
Literature

See lecture

Participants
  • BWL-EaF-Ma-2015 Wahlpflichtbereich Modul "Financial Mathematics" 1st-3rd Sem, Elective
  • LA-gbF-kbF-BK-Ma-2014 Masterprüfung in der kleinen beruflichen Fachrichtung Finanz- und Rechnungswesen, Steuern Profil "Finanzdienstleistungen" in der kleinen beruflichen Fachrichtung Wahlpflichtbereich im Profil "Finanzdienstleistungen" Modul "Financial Mathematics" 1st-3rd Sem, Elective
  • Mathe-Ma-2008 BWL-M III Finanzen & Banken Katalog BWL C Modul "Financial Mathematics" 1st-4th Sem, Elective
  • Mathe-Ma-2008 BWL-M IV Energy & Finance Katalog BWL D Modul "Financial Mathematics" 1st-4th Sem, Elective
  • MuU-Ma-2013 Wahlpflichtbereich III Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive Modul "Financial Mathematics" 1st-3rd Sem, Elective
  • VWL-Ma-2009-V2013 Wahlpflichtbereich I Modul "Financial Mathematics" 1st-3rd Sem, Elective
  • WiMathe-Ma VWL-Energie Modul "Financial Mathematics" 1st-4th Sem, Elective
Exercise: Financial Mathematics (WIWI‑C0825)
Module: Financial Mathematics (WIWI‑M0674)