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Financial Mathematics I
(dt. Finanzmathematik I)
Level, degree of commitment in original study programme | Intermediate 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 Translation missing. German original: Studienleistung: Erreichen von mindestens 50 Prozent der Punkte aus den wöchentlich zu bearbeitenden Übungsaufgaben. Prüfungsleistung: Klausur oder mündliche Prüfung |
Language, Grading |
German,The grading is done with 0 to 15 points according to the examination regulations for study course B.Sc. Business Mathematics. |
Original study programme | B.Sc. Wirtschaftsmathematik / Vertiefungsbereich |
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.
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 Wintersemester 2018/19. 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:
- WiSe 2016/17 (no corresponding element)
- SoSe 2018 (no corresponding element)
- WiSe 2018/19
- WiSe 2019/20
- WiSe 2020/21
- SoSe 2021
- WiSe 2021/22
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.