General information
Below you find a list of the lectures that our group offers in the summer term 2022.
If you would like to participate in a project seminar (see registration form) or reading course during the summer term, please inform the respective person in charge by e-mail. Dates will be agreed upon together with the participants.
If you are interested in writing a thesis in our group, just get in touch with your favored supervisor.
Foundations in Financial Mathematics
Links
Here you find the KIS entry: Foundations in Financial Mathematics (lecture)
Here you find the OLAT course: TUK Grundlagen der Finanzmathematik SS 22
Probability Concepts for Financial Markets
Contents
- 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
Links
Here you find the KIS entry: Probability Concepts for Financial Markets (compact course)
Here you find the OLAT course: TUK Probability Concepts for Financial Markets SS 22
Financial Mathematics
Contents
- 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)
Links
Here you find the KIS entry: Financial Mathematics (lecture)Financial Mathematics (tutorial)
Here you find the OLAT course: TUK Financial Mathematics SS 22
Life Insurance Mathematics
Links
Here you find the KIS entry: Life Insurance Mathematics (lecture)
Here you find the OLAT course: TUK Life Insurance Mathematics SS 22
Seminars and Reading Course
Our group offers the following additional courses in the summer term 2021:
Project Seminar: Advanced Modelling in Actuarial and Financial Mathematics
Contact time
2 SWS project seminar
Please contact Prof. Dr. Jörn Saß by e-mail until March 31, 2022. Dates will then be agreed upon together with the participants.
Links
Here you find the KIS entry: Project Seminar: Advanced Modelling in Actuarial and Financial Mathematics
Reading Course: Advanced Modelling in Actuarial and Financial Mathematics
Contact time
Please contact Prof. Dr. Jörn Saß by e-mail until March 31, 2022. Dates will then be agreed upon together with the participants.
Links
Here you find the KIS entry: Reading Course: Advanced Modelling in Actuarial and Financial Mathematics
Here you find the OLAT course: TUK Reading Course „Advanced Modelling in Financial and Acturial Mathematics“ SS 22