Lehrveranstaltungen im Wintersemester 17/18
Basic Course Financial Mathematics
- Winter Semester 2017/2018
- Tuesdays: 4 - 6 pm, Wednesdays: 4 - 6 pm, Thursdays: 10 am - 12 noon
- Tuesdays: S06 S00 B41, Wednesdays: S06 S01 B29, Thursdays: T03 R04 D10
'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
- basics of derivatives;
- arbitrage pricing;
- the Cox-Ross-Rubinstein model;
- Brownian motion and stochastic calculus;
- the Black-Scholes model;
- the Ornstein-Uhlenbeck model.