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 |
+ further Lecturers of the department Mathematics
|
| 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:
- [MAT-10-1-M-2] Fundamentals of Mathematics (M, 28.0 LP)
- [MAT-14-14-M-3] Stochastic Methods (M, 9.0 LP)
Requirements for attendance (formal)
NoneReferences 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 |