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Modul (6 Credits)
Financial Mathematics
- Name im Diploma Supplement
- Financial Mathematics
- Verantwortlich
- Voraussetzungen
- Siehe Prüfungsordnung.
- Workload
- 180 Stunden studentischer Workload gesamt, davon:
- Präsenzzeit: 60 Stunden
- Vorbereitung, Nachbereitung: 60 Stunden
- Prüfungsvorbereitung: 60 Stunden
- Dauer
- Das Modul erstreckt sich über 1 Semester.
- Qualifikationsziele
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.
- Praxisrelevanz
The discussed models and the used quantitative techniques are common standard and frequently used in financial institutions and the energy industry.
- Prüfungsmodalitäten
Written exam (generally 90 minutes).
- Verwendung in Studiengängen
- Bestandteile
Vorlesung (3 Credits)
Financial Mathematics
- Name im Diploma Supplement
- Lecture Financial Mathematics
- Anbieter
- Lehrperson
- SWS
- 2
- Sprache
- englisch
- Turnus
- Wintersemester
- maximale Hörerschaft
- unbeschränkt
- empfohlenes Vorwissen
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.
- Lehrinhalte
- Mathematical models for price processes in stock, interest, and commodity markets
- Arbitrage theory and hedging strategies
- Stochastic models for financial markets: martingales and fundamental theorems in asset pricing
- Valuation and hedging of derivatives: European , American and exotic options
- Incomplete markets and stochastic volatility
- Literaturangaben
- 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
- didaktisches Konzept
Presentation, discussion
- Hörerschaft
Übung (3 Credits)
Financial Mathematics
- Name im Diploma Supplement
- Exercises Financial Mathematics
- Anbieter
- Lehrperson
- SWS
- 2
- Sprache
- englisch
- Turnus
- Wintersemester
- maximale Hörerschaft
- unbeschränkt
- empfohlenes Vorwissen
Good knowledge in mathematical statistics and econometrics.
- Abstract
Recap and practice concepts and methods covered in the lecture.
- Lehrinhalte
- Examples of asset valuation
- Statistical methods and data analysis
- Implementation of theoretical concepts within the context of programming tasks
- Literaturangaben
See lecture
- Hörerschaft