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This entry is from Winter semester 2016/17 and might be obsolete. No current equivalent could be found.

Financial Mathematics II
(dt. Finanzmathematik II)

Level, degree of commitment Specialization module, depends on importing study program
Forms of teaching and learning,
workload		 Lecture (3 SWS), recitation class (1 SWS),
180 hours (60 h attendance, 120 h private study)
Credit points,
formal requirements		 6 CP
Course requirement(s): Written or oral examination
Examination type: Successful completion of at least 50 percent of the points from the weekly exercises.
Language,
Grading		 German,
The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Mathematics.
Subject, Origin Mathematics, M.Sc. Business Mathematics
Duration,
frequency		 One semester,
Jedes zweite Sommersemester
Person in charge of the module's outline Prof. Dr. Dr. Marcus Porembski, Prof. Dr. Hajo Holzmann

Contents

  • Stopping Times and American Options
  • Limit considerations in the binomial model
  • Stock price and Brownian movement
  • Stochastic Analysis
  • The Black-Scholes Model
  • Risk management with options
  • Interest rate derivatives and interest rate model

Qualification Goals

The students shall

  • be familiar with the principles of continuous financial market modelling,
  • stock price processes,
  • be familiar with selected products and the functioning of the interest rate market,
  • be able to price basic equity and interest rate derivatives and derive corresponding risk ratios.

Prerequisites

Translation is missing. Here is the German original:

Keine. Empfohlen werden die Kompetenzen, die in den Modulen Elementare Stochastik und Finanzmathematik I vermittelt werden


Recommended Reading

  • Porembski, M.: Vorlesungsskript ”Finanzmathematik”
  • Elliott, R.J., Kopp, P.E.: Mathematics of Financial Markets, Springer, 2005
  • Bingham, N.H, Kiesel, R.: Risk-Neutral Valuation. Pricing and Hedging of Financial Derivatives, Springer, 2004
  • Irle, A.: Finanzmathematik, Teubner, 2003
  • Shreve, S.E.: Stochastic Calculus for Finance II: Continuous-Time Models , Springer, 2008



Please note:

This page describes a module according to the latest valid module guide in Winter semester 2016/17. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:

The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.

The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.