Main content

German original

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

Level, degree of commitment in original study programme Advanced 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: 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 study course M.Sc. Business Mathematics.
Original study programme M.Sc. Wirtschaftsmathematik / Wirtschaftsmathematische Anwendungsmodule
Duration,
frequency
One semester,
Regelmäßig im Wechsel mit anderen wirtschaftswissenschaftlichen Anwendungsmodulen
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.


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 Wintersemester 2022/23. 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.