Wintersemester 24/25

Lehrveranstaltungen im Wintersemester 24/25

Tutorial

Financial Mathematics (FM)

Lecturer:
  • Yassin El Hatri, M.Sc.
Contact:
Term:
Winter Semester 2024/2025
Cycle:
Winter term
Time:
Thursday 4-6 pm (16:15-17:45)
Room:
R11 T04 C45
Start:
24.10.2024
End:
30.01.2025
Language:
English
Moodle:
Lecture in Moodle
LSF:
Lecture in LSF
Linked Lectures:

Description:

Recap and practice concepts and methods covered in the lecture.

Learning Targets:

Students

  • know the most important mathematical modelling techniques of financial markets and can apply them to real wordproblems.
  • are able to value simple derivative assets and can apply the main principles of risk management.
  • are able to solve basic risk management tasks arising in financial institutions and the energy industry.

Outline:

  • Examples of asset valuation
  • Statistical methods and data analysis
  • Implementation of theoretical concepts within the context of programming tasks

Literature:

  • N.H. Bingham & R. Kiesel, Risk Neutral Valuation, 2nd edition, Springer, 2004.
  • M. Joshi, The Concepts and Practice of Mathematical Finance, CUP, 2003
  • S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004

Methods of Assessment:

Written Exam (90 minutes)

Formalities:

Login into your ZIM account to access the Moodle key under "Material".

Material:

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