This entry is from Winter semester 2016/17 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): 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 B.Sc. Business Mathematics. Subject, Origin Mathematics, 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

Translation is missing. Here is the German original:

Keine. Empfohlen werden die Kompetenzen, die in den Basismodulen Analysis und Lineare Algebra sowie im Aufbaumodul Elementare Stochastik vermittelt werden

• 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