Content

• Linear regression models
• Parametric curve fitting
• Likelihood ratio tests
• Data adaptive model selection
• Analysis of variance (ANOVA)
• Experimental design
• Stationary stochastic processes
• Autoregressions and ARMA-processes
• Parameter estimation and model selection (time series)
• Trend and seasionality
• Forecasting by exponential smoothing and the Box-Jenkins method
• Linear filters

Contakt hours

SWS: 4 Std. + 2 Std.
Language: English

Prerequisites

Elementary probability theory and statistics (e.g. Praktische Mathematik: Stochastik)

KIS

Here you find the KIS entry:
RTSA (Vorlesung) 
RTSA (Übung)
 

OLAT

Content:

This course is given in German.

Es werden die grundlegenden Konzepte der Finanzmathematik in diskreter Zeit behandelt:

• Ein-Perioden-Modell
• Stochastische Modellierung von Finanzmärkten
• Risikoneutrale Bewertung
• Fundamentalsätze der Preistheorie

Contact hours:

2 SWS lecture with integrated tutorial

Prerequisites (Contents):

Module "Foundations of Mathematics", course "Stochastic Methods" from the Bachelor's degree programme.

Frequency of occurence:

The lecture is offered every year in the summer term. It takes place during the first half of the semester.

Here you find the KIS entry: KIS

 OLAT course

Content:

• Modeling of discrete-time financial markets
• Review and extensions of concepts from probability: Conditional expectation, martingales, stopping times, change of measure
• Binomial model
• Pricing of financial products in discrete-time financial markets
• European options
• American options
• Basics of portfolio optimization

Contact hours:

2 SWS intensive course with integrated tutorials / seminar

Prerequisites (Contents):

Course "Probability Theory"

Frequency of occurence:

The intensive course takes place every semester during the first few weeks (before the lecture period).

Here you find the KIS entry: KIS

OLAT course

Content:

• Basics of stochastic analysis (Brownian motion, Itô-integral, Itô-formula, martingale representation theorem, Girsanov theorem, linear stochastic differential equations, Feynman-Kac formula)
• Diffusion model for share prices and trading strategies
• Completeness of market
• Valuation of options with the replication principle, Black-Scholes formula
• Valuation of options and partial differential equations
• Exotic options
• Arbitrage bounds (Put call parity, parity of prices for European and American calls)

Contact hours:

4 SWS lecture
2 SWS tutorials

Prerequisites (Contents):

Course "Probability Theory"

Frequency of occurence:

The lecture is offered every year in the summer term.

Here you find the KIS entries: KIS (lecture) KIS (tutorial)

OLAT course

Content:

• Elementary financial mathematics (calculation of interest)
• Mortality
• Insurance benefits
• Net premiums and net actuarial reserves
• Inclusion of costs
• Life related insurance
• Various reject causes

Contact hours:

2 SWS lecture

Prerequisites (Contents):

Course "Stochastic Methods" from the Bachelor's degree programme.

Frequency of occurence:

The lecture is offered every year in the summer term. It takes place during the second half of the semester.

Here you find the KIS entry: KIS

 OLAT course

First meeting on April 23, 1:15 p.m., room 48-606. The times for the weekly meetings will be discussed then. (no regular date)

Prerequisites

Probability theory and financial mathematics or mathematics of non-life insurance

Contact time

2 SWS 

Appointments

Please send an e-mail to Prof. Dr. Jörn Saß by April 22. Please indicate in this e-mail which lectures in financial and actuarial mathematics you have attended.

Click here for the KIS entry: Seminar Finanzmathematik