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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 (individual examination)
Language,
Grading		 English,
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

Translation is missing, sorry. German original:

Die Studierenden

  • können die Prinzipien der stetigen Finanzmarktmodellirung darstellen und diskutieren,
  • können Aktienpreis-Prozesse darstellen,
  • können ausgewählte Produkte und die Funktionsweise des Zinsmarktes darstellen und diskutieren,
  • können grundlegende Aktien- und Zinsderivate bepreisen und entsprechende Risikokennzahlen ableiten.

Prerequisites

None. The competences taught in the following modules are recommended: Probability Theory, 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 B.Sc. Business Mathematics, this module can be attended in the study area Free Compulsory Elective Modules.


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 2025/26. 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.