Module Handbook

  • Dynamischer Default-Fachbereich geändert auf MAT

Course MAT-60-15-K-4

Foundations in Financial Mathematics (2V, 3.0 LP)

Course Type

SWS Type Course Form CP (Effort) Presence-Time / Self-Study
2 V Lecture with integrated exercises 3.0 CP 28 h 62 h
(2V) 3.0 CP 28 h 62 h

Basedata

SWS 2V
CP, Effort 3.0 CP = 90 h
Position of the semester 1 Sem. in SuSe
Level [4] Bachelor (Specialization)
Language [DE] German
Lecturers
Area of study [MAT-STO] Stochastics/Statistics/Financial Mathematics
Additional informations
Livecycle-State [NORM] Active

Possible Study achievement

  • Verification of study performance: proof of successful participation in the exercise classes (ungraded)
  • Details of the examination (type, duration, criteria) will be announced at the beginning of the course.

Contents

In this lecture the basic concepts of financial mathematics in discrete time will be discussed:
  • One-period model,
  • Stochastic modelling of financial markets,
  • Risk-neutral valuation,
  • Fundamental Theorem of Price Theory.

Literature

  • J. Kremer: Einführung in die diskrete Finanzmathematik,
  • S. Pliska: Introduction to Mathematical Finance,
  • J. Hull: Optionen, Futures und andere Derivate.

Materials

Weitere Literatur wird in der Vorlesung bekannt gegeben.

Registration

Anmeldung über das Übungsverwaltungssystem URM (https://urm.mathematik.uni-kl.de)

Requirements for attendance (informal)

Modules:

Requirements for attendance (formal)

None

References to Course [MAT-60-15-K-4]

Module Name Context
[MAT-60-15-M-4] Foundations in Financial Mathematics P: Obligatory 2V, 3.0 LP