Financial Mathematics I
(dt. Finanzmathematik I)
|Level, degree of commitment in original study programme||Intermediate module, compulsory elective module|
|Forms of teaching and learning,
|Lecture (3 SWS), recitation class (1 SWS), |
180 hours (60 h attendance, 120 h private study)
Course requirement: Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
|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|
|One semester, |
each winter semester
|Person in charge of the module's outline||Prof. Dr. Dr. Marcus Porembski, Prof. Dr. Hajo Holzmann|
- Interest, bonds, equities, commodities, foreign exchange
- Forward contracts, options
- Use of derivatives (strategy, product design)
- Discrete financial market models
- CRR Model and Variations
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.
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.
- 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
This page describes a module according to the latest valid module guide in Wintersemester 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:
- 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
- WiSe 2022/23
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.