Lehrveranstaltungen im Wintersemester 21/22

Lecture

Basic Course Financial Mathematics (BFM)

Contact:
Term:
Winter Semester 2021/2022
Time:
Tue: 19.10. & 26.10. (16:15-17:45); Wed: 20.10. & 27.10. (10:15-11:45)
Room:
T03 R02 D39 (Tue), S06 S00 B32 (Wed)
Start:
19.10.2021
End:
27.10.2021
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 of Financial Mathematics;
  2.     Arbitrage pricing;
  3.     The Cox-Ross-Rubinstein model;
  4.     Brownian motion, stochastic calculus, and applications.