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

Level, degree of commitment Specialization module, depends on importing study program
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(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.
Origin M.Sc. Business Mathematics, M.Sc. Business Mathematics
Duration,
frequency		 One semester,
Regularly alternating with other application modules in economics
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

Translation is missing, sorry. German original:

Die Studierenden

  • können komplexe Konzepte eines speziellen Themas der Finanzmathematik erläutern,
  • können die Praxis finanzmathematischer Modellierung auf diesem Gebiet erklären und sind in der Lage, Modelle kritisch zu hinterfragen.

Prerequisites

None. The competences taught in the following modules are recommended: Elementary Probability and Statistics, Financial Mathematics I.


Applicability

The module 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. Business Mathematics, this module can be attended in the study area Compulsory Elective Modules in Mathematics.

The module can also be used in other study programs (export module).


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 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.