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 2020.

If you would like to participate in a seminar, 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 2020:

Foundations in Financial Mathematics

Contents

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 / 30 h 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 SS2020

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 / 30 h 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 / 60 h lecture
2 SWS / 30 h tutorials

The lecture is offered every year in the summer term.

Prerequisites with regard to contents

Course "Probability Theory"

Links

Here you find the KIS entry: Financial Mathematics (lecture) Financial Mathematics (tutorial)

Here you find the OLAT course: TUK Financial Mathematics SS2020

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 / 30 h 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 SS2020

Markov Switching Models and their Applications in Finance

Contents

  • Discrete-time and continuous-time Markov chains
  • Hidden Markov models in discrete time
  • Continuous-time Markov switching models
  • Parameter estimation and filtering
  • Modelling financial asset prices
  • Econometric properties of financial time series and model extensions
  • Applications to portfolio optimization

Contact time

2 SWS / 30 h lecture

The lecture is offered on an irregular basis.

Prerequisites with regard to contents

Module "Mathematical Statistics" or "Probability Theory"

Seminars and Reading Course

Our group offers the following additional courses in the summer term 2020:

Seminar: Actuarial and Financial Mathematics

Contact time

2 SWS / 30 h seminar

Links

Project Seminar: Advanced Modelling in Actuarial and Financial Mathematics

Contents

Methods of Machine Learning in Finance and Insurance

Contact time

2 SWS / 30 h project seminar

Please contact Prof. Dr. Jörn Saß by e-mail until March 31, 2020. Dates will then be agreed upon together with the participants.

Reading Course: Advanced Topics in Actuarial and Financial Mathematics

Contents

Trading and Pricing in Energy Markets

Contact time

Please contact Prof. Dr. Jörn Saß by e-mail until March 31, 2020. Dates will then be agreed upon together with the participants.

Zum Seitenanfang