Financial Mathematics Group

The picture shows a man in front of a blackboard with formulas.

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.

Important links

  • KIS: dates of lectures and tutorials
  • URM: registration for tutorials
  • OpenOLAT: course materials and further information (access codes are sent by e-mail)

Lectures in the summer term

Our group offers the following lectures in the summer term 2022:

Foundations in Financial Mathematics

Contents

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 time

2 SWS lecture with integrated tutorial

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

Prerequisites with regard to contents

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

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

Contact time

2 SWS intensive course with integrated tutorials / seminar

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

Prerequisites with regard to contents

Course "Probability Theory" from the Bachelor's degree programme.

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)

Contact time

4 SWS lecture
2 SWS tutorials

The lecture is offered every year in the summer term.

Prerequisites with regard to contents

Course "Probability Theory"

Links

Life Insurance Mathematics

Contents

  • 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 time

2 SWS lecture

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

Prerequisites with regard to contents

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

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

Contents

Implementation of Optimal Strategies under Risk Constraints

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.

Reading Course: Advanced Modelling in Actuarial and Financial Mathematics

Contents

Portfolio Optimization under Risk Constraints

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.

Zum Seitenanfang