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This entry is from Winter semester 2020/21 and might be obsolete. You can find a current equivalent here.
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 |
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
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
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.
Applicability
The module can be attended at FB12 in study program(s)
- B.Sc. Computer Science
- B.Sc. Mathematics
- B.Sc. Business Mathematics
- M.Sc. Computer Science
- M.Sc. Mathematics
- M.Sc. Business Mathematics
When studying B.Sc. Business Mathematics, this module can be attended in the study area Specialization Modules.
The module can also be used in other study programs (export module).
The module is assigned to the focus area Numerics/Optimisation. 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 2020/21. 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:
- Winter 2016/17
- Summer 2018
- Winter 2018/19
- Winter 2019/20
- Winter 2020/21
- Summer 2021
- Winter 2021/22
- Winter 2022/23
- Winter 2023/24
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.