Module Handbook

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Module MAT-60-15-M-4

Foundations in Financial Mathematics (M, 3.0 LP)

Module Identification

Module Number Module Name CP (Effort)
MAT-60-15-M-4 Foundations in Financial Mathematics 3.0 CP (90 h)

Basedata

CP, Effort 3.0 CP = 90 h
Position of the semester 1 Sem. in SuSe
Level [4] Bachelor (Specialization)
Language [DE] German
Module Manager
Sass, Jörn, Prof. Dr. (PROF | DEPT: MAT)
Lecturers
Korn, Ralf, Prof. Dr. (PROF | DEPT: MAT)
Sass, Jörn, Prof. Dr. (PROF | DEPT: MAT)
Area of study [MAT-STO] Stochastics/Statistics/Financial Mathematics
Reference course of study [MAT-82.276-SG] B.Sc. Business Mathematics
Livecycle-State [NORM] Active

Notice

This module cannot be combined with the module [MAT-61-11-M-7] in the master's examination.

Courses

Type/SWS Course Number Title Choice in
Module-Part 		Presence-Time /
Self-Study 		SL SL is
required for exa. 		PL CP Sem.
2V MAT-60-15-K-4
Foundations in Financial Mathematics
P 28 h 62 h
U-Schein
- PL1 3.0 SuSe
  • About [MAT-60-15-K-4]: Title: "Foundations in Financial Mathematics"; Presence-Time: 28 h; Self-Study: 62 h
  • About [MAT-60-15-K-4]: The study achievement "[U-Schein] proof of successful participation in the exercise classes (ungraded)" must be obtained.

Examination achievement PL1

  • Form of examination: written exam (Klausur) (60-90 Min.)
  • Examination Frequency: each semester
  • Examination number: 86202 ("Foundations in Financial Mathematics")

Evaluation of grades

The grade of the module examination is also the module grade.


Contents

From [MAT-60-15-K-4] Foundations in Financial Mathematics:
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.

Competencies / intended learning achievements

Upon completion of this module, the students will have studied the basic concepts, statements and techniques of financial mathematics. They have, in particular, understood how price processes and trading strategies are modelled using discrete time stochastic processes. They know the basic concepts of risk-neutral valuation and the are able to apply these to specific financial products.

Literature

From [MAT-60-15-K-4] Foundations in Financial Mathematics:
  • J. Kremer: Einführung in die diskrete Finanzmathematik,
  • S. Pliska: Introduction to Mathematical Finance,
  • J. Hull: Optionen, Futures und andere Derivate.

Registration

Registration for the exercise classes via the online administration system URM (https://urm.mathematik.uni-kl.de).

Requirements for attendance of the module (informal)

Modules:

Requirements for attendance of the module (formal)

For students of the (Bachelor's) study programmes of the Department of Mathematics, the proof of successful participation in the exercise classes of "Fundamentals of Mathematics I" or "Fundamentals of Mathematics II" (e.g. from the module [MAT-10-1-M-2] "Fundamentals of Mathematics") is prerequisite for participation in the module examination.

References to Module / Module Number [MAT-60-15-M-4]

Course of Study Section Choice/Obligation
[MAT-82.105-SG] B.Sc. Mathematics [Internship / Occupational Modules] Internship / Elective Area [WP] Compulsory Elective
[MAT-82.276-SG] B.Sc. Business Mathematics [Core Modules (non specialised)] Business Mathematics [P] Compulsory
[MAT-88.105-SG] M.Sc. Mathematics [Core Modules (non specialised)] Applied Mathematics [WP] Compulsory Elective
[MAT-88.118-SG] M.Sc. Industrial Mathematics [Core Modules (non specialised)] General Mathematics [WP] Compulsory Elective
[MAT-88.706-SG] M.Sc. Mathematics International [Core Modules (non specialised)] Applied Mathematics [WP] Compulsory Elective