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Financial Mathematics I
(dt. Finanzmathematik I)

Level, degree of commitment Advanced 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 (individual 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.
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

Students

  • are familiar with basic financial instruments, the functioning of financial markets and basic capital market theoretical discrete models and their axioms,
  • possess insight and intuition into the practice of financial mathematical modeling and are able to critically examine models,
  • can evaluate basic options on stocks, indices, and currencies as well as futures contracts on interest rates, securities, stocks, 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 Probability and Statistics.


Applicability

Module imported from B.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
  • BA Minor Mathematics

When studying M.Sc. Mathematics, this module can be attended in the study area Compulsory Elective Modules in Mathematics.

The module is assigned to Applied Mathematics. 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 Winter semester 2023/24. 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.