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This entry is from Winter semester 2019/20 and might be obsolete. You can find a current equivalent here.

Selected Topics on Financial Mathematics
(dt. Ausgewählte Themen der Finanzmathematik)

Level, degree of commitment Specialization module, compulsory elective module
Forms of teaching and learning,
workload		 Lecture (2 SWS),
90 hours (30 h attendance, 60 h private study)
Credit points,
formal requirements		 3 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,
Regularly alternating with other application modules in economics
Person in charge of the module's outline Prof. Dr. Dr. Marcus Porembski, Prof. Dr. Hajo Holzmann

Contents

Depending on the course, e.g. interest structure models, Monte Carlo methods, credit risk.


Qualification Goals

The students shall

  • study a selected topic in quantitative finance in depth,
  • Gain insights and intuition into the practice of financial mathematical modelling in this field and be able to critically question models.

Prerequisites

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


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 M.Sc. Mathematics, this module can be attended in the study area Specialization Modules in Mathematics.

Die Wahlmöglichkeit des Moduls ist dadurch beschränkt, dass es innerhalb der Angewandten Mathematics den wirtschaftsmathematischen Anwendungsmodulen zugeordnet ist.


Recommended Reading

  • Hull, J.C.: Options, Futures, and Other Derivatives, Prentice Hall, 2005.
  • Weitere Literatur abhängig von der Veranstaltung.



Please note:

This page describes a module according to the latest valid module guide in Winter semester 2019/20. 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.