Modules

Prerequisites

Contents

• Basic concepts of financial markets • Discrete-Time stochastic processes and martingales • Mathematical modeling of time-discrete financial markets • One- and multi-period model, binomial model, transition to the Black Scholes model • Pricing and hedging of derivatives • Portfolio optimization

Learning outcomes

After successful completion of the module, students have gained in-depth knowledge from the Probability Theory module and are able to apply it. They are familiar with the key concepts involved in modeling time-discrete stochastic financial markets and have mastered basic methods for valuing and hedging derivatives. In addition, students gained experience in independent academic work through the study of topics in financial mathematics.

Assessment

• Written examination, 90 min. OR • Oral examination, 30 min. (with small number of participants) In the first lecture it will introduced, whether the examination will organized in written or oral form.

Remarks

• Study programme Mathematics M.Sc.: Compulsory elective module in the module complex „Stochastics” • Study programme Mathematical Data Science M.Sc.: Compulsory elective module in the module complex „Advanced Mathematical Methods in Data Science”