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This entry is from Winter semester 2020/21 and might be obsolete. You can find a current equivalent here.

Financial Mathematics II
(dt. Finanzmathematik II)

Level, degree of commitment Specialization module, compulsory elective module
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): Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
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.
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

None. The competences taught in the following modules are recommended: Elementary Stochastics, Financial Mathematics I.


Applicability

Module imported from M.Sc. Business Mathematics.

It can be attended at FB12 in study program(s)

  • B.Sc. Mathematics
  • B.Sc. Business Mathematics
  • M.Sc. Computer Science
  • M.Sc. Mathematics
  • M.Sc. Business Mathematics

When studying B.Sc. Business Mathematics, this module can be attended in the study area Specialization Modules.

The module is assigned to the focus area Numerics/Optimisation. Further information on eligibility can be found in the description of the study area.


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 2020/21. 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.