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This entry is from Summer semester 2021 and might be obsolete. You can find a current equivalent here.

Financial Mathematics I
(dt. Finanzmathematik I)

Level, degree of commitment Advanced 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): 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 B.Sc. Business Mathematics.
Origin B.Sc. Business Mathematics
Duration,
frequency		 One semester,
each winter semester
Person in charge of the module's outline Prof. Dr. Dr. Marcus Porembski, Prof. Dr. Hajo Holzmann

Contents

  • Interest, bonds, equities, commodities, foreign exchange
  • Forward contracts, options
  • Use of derivatives (strategy, product design)
  • Discrete financial market models
  • CRR Model and Variations

Qualification Goals

The students shall

  • be familiar with the basic financial instruments, the functioning of financial markets and the basic discrete models and axioms of capital market theory,
  • Gain insight and intuition into the practice of financial mathematical modelling and be able to critically question models,
  • be able to value basic options on equities, indices and currencies as well as forward contracts on interest rates, securities, equities and commodities.

Prerequisites

None. The competences taught in the following modules are recommended: either Linear Algebra I and Linear Algebra II or Basic Linear Algebra, either Analysis I and Analysis II or Basic Real Analysis, Elementary Stochastics.


Applicability

The module can be attended at FB12 in study program(s)

  • B.Sc. Computer Science
  • 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 can also be used in other study programs (export module).

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”
  • Sandmann, K.: Einführung in die Stochastik der Finanzmärkte. Springer, 2000
  • Kremer, J.: Einführung in die Diskrete Finanzmathematik, Springer, 2005.
  • Shreve, S.E.: Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Springer, 2004
  • Hull, J.C.: Options, Futures, and Other Derivatives, Prentice Hall, 2005



Please note:

This page describes a module according to the latest valid module guide in Summer semester 2021. 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.