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 Master 2015>Wahlpflichtbereich >Modul "Financial Mathematics"1st-3rd Semester, Elective
• ECMX Master 2019>Wahlpflichtbereich >Bereich Applied Econometrics >Modul "Financial Mathematics"1st-3rd Semester, Elective
• LA gbF/kbF BK Master 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 Semester, Elective
• MuU Master 2013>Wahlpflichtbereich III >Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive >Modul "Financial Mathematics"1st-3rd Semester, Elective
• VWL Master 2009-V2013>Wahlpflichtbereich I >Modul "Financial Mathematics"1st-3rd Semester, Elective
• WiMathe Master 2013>VWL-Energie >Modul "Financial Mathematics"1st-4th Semester, Elective