Modules
Liste aller Module
An dieser Stelle gibt es eine alphabetische Liste aller Module. Einzelne Modulnamen können "doppelt" erscheinen, da gleichlautende aber unterschiedliche Module in unterschiedlichen Studiengängen Verwendung finden. Dies geschieht bspw. durch Vorgaben der Akkreditierungsagenturen oder bei sehr unspezifischen Modulen wie Abschlussarbeiten. In dem Fall finden Sie das richtige Modul eventuell schneller wenn Sie über den Anbieter suchen.
Module
Module (6 Credits)
Financial Mathematics
- Name in diploma supplement
- Financial Mathematics
- Responsible
- Admission criteria
- See exam regulations.
- Workload
- 180 hours of student workload, in detail:
- Attendance: 60 hours
- Preparation, follow up: 60 hours
- Exam preparation: 60 hours
- Duration
- The module takes 1 semester(s).
- Qualification Targets
Students
- know the most important mathematical modelling techniques of financial markets and can apply them to real word problems.
- are able to value simple derivative assets and can apply the main principles of risk management.
- are able to solve basic risk management tasks arising in financial institutions and the energy industry.
- Relevance
The discussed models and the used quantitative techniques are common standard and frequently used in financial institutions and the energy industry.
- Module Exam
Written exam (generally 90 minutes).
- Usage in different degree programs
- Elements
Lecture (3 Credits)
Financial Mathematics
- Name in diploma supplement
- Lecture Financial Mathematics
- Organisational Unit
- Lecturers
- SPW
- 2
- Language
- English
- Cycle
- winter semester
- Participants at most
- no limit
- Preliminary knowledge
Good knowledge in mathematical statistics and econometrics.
- Abstract
Discussion of essential mathematical valuation principles and techniques both in time-discrete and time-continuous models. Introduction and implementation of probabilistic and statistical methods. Analysis of stock, interest and commodity markets and also of the most common assets and derivatives in these markets.
- Contents
- Mathematical models for price processes in stock, interest, and commodity markets
- Arbitrage theory and hedging strategies
- Stochastic models for financial markets: martingales and fundamental theorems in asset pricing
- Valuation and hedging of derivatives: European , American and exotic options
- Incomplete markets and stochastic volatility
- Literature
- N.H. Bingham & R. Kiesel, Risk Neutral Valuation, 2nd edition, Springer, 2004.
- M. Joshi, The Concepts and Practice of Mathematical Finance, CUP, 2003
- S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004
- Teaching concept
Presentation, discussion
- Participants
Exercise (3 Credits)
Financial Mathematics
- Name in diploma supplement
- Exercises Financial Mathematics
- Organisational Unit
- Lecturers
- SPW
- 2
- Language
- English
- Cycle
- winter semester
- Participants at most
- no limit
- Preliminary knowledge
Good knowledge in mathematical statistics and econometrics.
- Abstract
Recap and practice concepts and methods covered in the lecture.
- Contents
- Examples of asset valuation
- Statistical methods and data analysis
- Implementation of theoretical concepts within the context of programming tasks
- Literature
See lecture
- Participants