Financial Mathematics

Module: Financial Mathematics (6 Credits)
Name in diploma supplement	Financial Mathematics
Responsible	Prof. Dr. Rüdiger Kiesel
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	BWL EaF Master > Wahlpflichtbereich > 1.-3. Sem, Elective ECMX Master > Wahlpflichtbereich > ME6 Applied Econometrics > 1.-3. Sem, Elective LA gbF/kbF BK Master > Masterprüfung in der kleinen beruflichen Fachrichtung > Finanz- und Rechnungswesen, Steuern > Wahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern" > 1.-3. Sem, Elective MuU Master > Wahlpflichtbereich III > Wahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive > 1.-3. Sem, Elective VWL Master > Wahlpflichtbereich I > 1.-3. Sem, Elective WiMathe Master > VWL-Energie > 1.-4. Sem, Elective
Elements	Lecture Financial Mathematics (3 Credits) Exercise Financial Mathematics (3 Credits)
Module: Financial Mathematics (WIWI‑M0674)

Lecture: Financial Mathematics (3 Credits)
Name in diploma supplement	Lecture Financial Mathematics
Organisational Unit	Lehrstuhl für Energiehandel und Finanzdienstleistungen
Lecturers	Prof. Dr. Rüdiger Kiesel
Hours per week	2	Language	English
Cycle	winter semester	Participants at most	###LABEL_NOLIMIT###
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
Lecture: Financial Mathematics (WIWI‑C0824)

Exercise: Financial Mathematics (3 Credits)
Name in diploma supplement	Exercises Financial Mathematics
Organisational Unit	Lehrstuhl für Energiehandel und Finanzdienstleistungen
Lecturers	Prof. Dr. Rüdiger Kiesel und Mitarbeiter
Hours per week	2	Language	English
Cycle	winter semester	Participants at most	###LABEL_NOLIMIT###
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
Exercise: Financial Mathematics (WIWI‑C0825)