Lehrveranstaltungen im SS 18
Basic Course Financial Mathematics
- Summer Semester 2018
- Tuesday 10. and 17.04.2018 4-6 pm, Friday 20.04.2018 10-12 am
- S06 S00 B32 (Tuesdays 4-6 pm), S06 S00 B38 (Friday 10-12 am)
'Structuring and Valuation' and 'Quantitative Climate Finance' will both start with a joint mandatory course on financial mathematics. The course is designed to cover material which is included in the syllabus of both courses. As such, the course is a mandatory part of both of the aforementioned courses and relevant for the respective exams.
This course is designed to introduce some of the fundamental notions and models most commonly used in our more advanced courses. The covered topics include
- options, futures, and other derivatives;
- arbitrage pricing and basic notions of probability theory;
- the Cox-Ross-Rubinstein model;
- Brownian motion and stochastic calculus;
- the Black-Scholes model;
- the Ornstein-Uhlenbeck model.
Appointed times are: Tuesday 10. and 17.04.2018 4-6 pm, Friday 20.04.2018 10-12 am in place of the first two 'Structuring and Valuation' lectures and one exercise time slot.