Lehrveranstaltungen im SS 17
Basic Course Financial Mathematics
- Sommersemester 2017
- Tuesday, 10-12 am and 4-6 pm
- R12 R05 A52 (Tuesday 10-12 am), S06 S00 B41 (Tuesday 4-6 pm)
PLEASE NOTE: THE SESSION ON MONDAY, MAY 8th HAS TO BE MOVED TO MAY 9th 10-12 AM. THAT MEANS THAT NEXT WEEK’S SCHEDULE IS, IN ANALOGY TO THIS WEEK: TUE, 10-12 AM (R12 R05 A52) & 4-6 PM (S06 S00 B41). WE APOLOGISE FOR ANY INCONVENIENCE THIS MAY CAUSE.
'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: 6x2h, Tuesday 10-12 am & 4-6 pm.