Basic Course Financial Mathematics
- Summer Semester 2019
- 9., 10., 11., 12., 18. and 25.4.2019
- S06 S04 B06 (Tuesday 4-6 pm), S06 S00 A21 (Wednesday 10-12 am), S06 S00 A21 (Thursdays 10-12 am) and S06 S01 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 'Structuring and Valuation' and 'Quantitative Climate Finance'. The covered topics include
- arbitrage-free pricing;
- the Cox-Ross-Rubinstein model;
- Brownian motion and stochastic calculus;
- the Black-Scholes model;
- the Ornstein-Uhlenbeck model.