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This entry is from Winter semester 2021/22 and might be obsolete. You can find a current equivalent here.
Financial Mathematics II
(dt. Finanzmathematik II)
Level, degree of commitment | Specialization 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 M.Sc. Business Mathematics. |
Duration, frequency |
One semester, Jedes zweite Sommersemester |
Person in charge of the module's outline | Prof. Dr. Dr. Marcus Porembski, Prof. Dr. Hajo Holzmann |
Contents
- 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
Qualification Goals
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.
Prerequisites
None. The competences taught in the following modules are recommended: Elementary Stochastics, Financial Mathematics I.
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. Computer Science, this module can be attended in the study area Minor subject Mathematics.
Recommended Reading
- 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
Please note:
This page describes a module according to the latest valid module guide in Winter semester 2021/22. 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.