SingleView of Module

Module (6 Credits)

Financial Mathematics

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 MasterWahlpflichtbereich 1st-3rd Sem, Elective
  • ECMX MasterWahlpflichtbereichME6 Applied Econometrics 1st-3rd Sem, Elective
  • LA gbF/kbF BK MasterMasterprüfung in der kleinen beruflichen FachrichtungFinanz- und Rechnungswesen, SteuernWahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern" 1st-3rd Sem, Elective
  • MuU MasterWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive 1st-3rd Sem, Elective
  • VWL MasterWahlpflichtbereich I 1st-3rd Sem, Elective
  • WiMathe MasterVWL-Energie 1st-4th Sem, Elective
Elements

Lecture (3 Credits)

Lecture Financial Mathematics

Organisational Unit
Lehrstuhl für Energiehandel und Finanzdienstleistungen
Lecturer
Prof. Dr. Rüdiger Kiesel
Cycle
winter semester
SPW
2
Language
English
Participants

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

  1. Mathematical models for price processes in stock, interest, and commodity markets
  2. Arbitrage theory and hedging strategies
  3. Stochastic models for financial markets: martingales and fundamental theorems in asset pricing
  4. Valuation and hedging of derivatives: European , American and exotic options
  5. 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: Lecture Financial Mathematics (WIWI‑C0824)

Exercise (3 Credits)

Exercises Financial Mathematics

Organisational Unit
Lehrstuhl für Energiehandel und Finanzdienstleistungen
Lecturer
Prof. Dr. Rüdiger Kiesel und Mitarbeiter
Cycle
winter semester
SPW
2
Language
English
Participants

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: Exercises Financial Mathematics (WIWI‑C0825)
Module: Financial Mathematics (WIWI‑M0674)