Financial Mathematics II
(dt. Finanzmathematik II)
|Level, degree of commitment in original study programme||Advanced 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 M.Sc. Business Mathematics.|
|Original study programme||M.Sc. Wirtschaftsmathematik / Wirtschaftsmathematische Anwendungsmodule|
|One semester, |
Jedes zweite Sommersemester
|Person in charge of the module's outline||Prof. Dr. Dr. Marcus Porembski, Prof. Dr. Hajo Holzmann|
- Stopping Times and American Options
- Limit considerations in the binomial model
- Stock price and Brownian movement
- Stochastic Analysis
- The Black-Scholes Model
- Risk management with options
- Interest rate derivatives and interest rate model
The students shall
- be familiar with the principles of continuous financial market modelling,
- stock price processes,
- be familiar with selected products and the functioning of the interest rate market,
- be able to price basic equity and interest rate derivatives and derive corresponding risk ratios.
None. The competences taught in the following modules are recommended: Elementary Stochastics, Financial Mathematics I.
- Porembski, M.: Vorlesungsskript ”Finanzmathematik”
- Elliott, R.J., Kopp, P.E.: Mathematics of Financial Markets, Springer, 2005
- Bingham, N.H, Kiesel, R.: Risk-Neutral Valuation. Pricing and Hedging of Financial Derivatives, Springer, 2004
- Irle, A.: Finanzmathematik, Teubner, 2003
- Shreve, S.E.: Stochastic Calculus for Finance II: Continuous-Time Models , Springer, 2008
This page describes a module according to the latest valid module guide in Sommersemester 2021. 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.