Lecture

Financial Mathematics

Name in diploma supplement

Lecture Financial Mathematics

Organisational Unit

Lehrstuhl für Energiehandel und Finanzdienstleistungen

Lecturers

Prof. Dr. Rüdiger Kiesel

SPW

2

Language

English

Cycle

winter semester

Participants at most

no limit

Participants

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

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