Lehrveranstaltungen im Wintersemester 18/19

Lecture

Basic Course Financial Mathematics

Contact:
Term:
Winter Semester 2017/2018
Time:
Monday: 4 - 6 pm, Wednesdays: 10 - 12 am
Room:
Mondays: S06 S00 B41, Wednesdays: S06 S00 B32
Start:
08.10.2018
End:
24.10.2018
Language:
English

Description:

'Energy Trading' and 'Financial Risk Management' will both start with a joint basic course in 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 fundamental notions and models most commonly used in 'Energy Trading' and 'Financial Risk Management'. The topics covered are

  1.     basics;
  2.     arbitrage pricing;
  3.     the Cox-Ross-Rubinstein model;
  4.     Brownian motion and stochastic calculus;
  5.     the Black-Scholes model;
  6.     the Ornstein-Uhlenbeck model.