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Financial Mathematics I

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Financial Mathematics I


The last exercise sheet for this semester is now available for download below. Please submit your solutions by 17:00 on Monday, July 20.


The lecture takes place twice a week on

  • Monday, 11:45 - 13:15 in room 48-210
  • Tuesday, 10:00 - 11:30 in room 48-208


The tutorials take place every

  • Thursday, 11:45 - 13:15 in room 48-538.

The tutorials start on Thursday, April 30, 2015.


You are expected to hand in your solution in groups of 2-3 students. There is a box on the ground floor of building 48 for your submissions. To qualify for a tutorial certificate (Übungsschein) you are required to

  • achieve a total of 50% of the points on all exercise sheets,
  • present a solution at least once,
  • miss no more than 2 tutorials.

Tutorial Sheets


The lecture is based on the following books. The first book (in German) is available for download through the university's network.

  • Korn, R.: Moderne Finanzmathematik - Theorie und praktische Anwendung. Band 1, Springer 2014.
  • Korn, R. & Korn, E.: Option Pricing and Portfolio Optimization - Modern Methods of Financial Mathematics. Graduate Studies in Mathematics 31, American Mathmatical Society, 2001.
  • Björk, T.: Arbitrage Theory in Continuous Time. Third Edition, Oxford University Press, 2009.