Content:

This course is given in German.

Es werden die grundlegenden Konzepte der Finanzmathematik in diskreter Zeit behandelt:

• Ein-Perioden-Modell
• Stochastische Modellierung von Finanzmärkten
• Risikoneutrale Bewertung
• Fundamentalsätze der Preistheorie

Contact hours:

2 SWS lecture with integrated tutorial

Prerequisites (Contents):

Module "Foundations of Mathematics", course "Stochastic Methods" from the Bachelor's degree programme.

Frequency of occurence:

The lecture is offered every year in the summer term. It takes place during the first half of the semester.

Here you find the KIS entry: KIS

 OLAT course

Content:

• Modeling of discrete-time financial markets
• Review and extensions of concepts from probability: Conditional expectation, martingales, stopping times, change of measure
• Binomial model
• Pricing of financial products in discrete-time financial markets
• European options
• American options
• Basics of portfolio optimization

Contact hours:

2 SWS intensive course with integrated tutorials / seminar

Prerequisites (Contents):

Course "Probability Theory"

Frequency of occurence:

The intensive course takes place every semester during the first few weeks (before the lecture period).

Here you find the KIS entry: KIS

OLAT course

Content:

• Basics of stochastic analysis (Brownian motion, Itô-integral, Itô-formula, martingale representation theorem, Girsanov theorem, linear stochastic differential equations, Feynman-Kac formula)
• Diffusion model for share prices and trading strategies
• Completeness of market
• Valuation of options with the replication principle, Black-Scholes formula
• Valuation of options and partial differential equations
• Exotic options
• Arbitrage bounds (Put call parity, parity of prices for European and American calls)

Contact hours:

4 SWS lecture
2 SWS tutorials

Prerequisites (Contents):

Course "Probability Theory"

Frequency of occurence:

The lecture is offered every year in the summer term.

Here you find the KIS entries: KIS (lecture) KIS (tutorial)

OLAT course

Content:

• Elementary financial mathematics (calculation of interest)
• Mortality
• Insurance benefits
• Net premiums and net actuarial reserves
• Inclusion of costs
• Life related insurance
• Various reject causes

Contact hours:

2 SWS lecture

Prerequisites (Contents):

Course "Stochastic Methods" from the Bachelor's degree programme.

Frequency of occurence:

The lecture is offered every year in the summer term. It takes place during the second half of the semester.

Here you find the KIS entry: KIS

Content:

• Life Insurance Mathematics:
  • Dynamic models (Markov chain, continuous time),
  • Stochastic interest rates,
  • Products with investment in the financial market and guarantee funds,
  • Market consistent valuation.
• Health Insurance Mathematics:
  • Premium principles,
  • Reserves for increasing age and contract changes,
  • Profit participation and premium reductions ,
  • Risk assessment.
• Actuarial Mathematics for Pension Plans:
  • State diagrams and benefits,
  • Neuburger's model,
  • Estimation of decrement rates,
  • Premiums and actuarial reserves.

Contact hours:

2 SWS lecture

Prerequisites (Contents):

Course "Life Insurance Mathematics"

Frequency of occurence:

The lecture is irregularly given.

Here you find the KIS entry: KIS

OLAT course

Content:

Financial Mathematics

Contact hours:

2 SWS seminar

Prerequisites (Contents):

Courses "Probability Theory" and "Financial Mathematics"

Frequency of occurence:

Dates will be agreed upon at the first meeting in the summer term.

Please contact  Prof. Dr. Jörn Saß by e-mail by March 31.

Here you find the KIS entry: KIS

OLAT course