Financial Mathematics Group
The picture shows a man in front of a blackboard with formulas.

General Information

Below you find a list of the lectures that our group offers in the summer term 2024.

If you would like to participate in a project seminar (see registration form) or reading course during the summer term, please inform the respective person in charge by e-mail. Dates will be agreed upon together with the participants.

If you are interested in writing a thesis in our group, just get in touch with your favored supervisor.

Lectures in the winter term

Our group offers the following lectures in the winter term 2024/25:

Current Information

It is assumed that the video presentations of the lectures (available as videos in OLAT) have been seen and worked through by the participants before (!) the corresponding meetings in the afternoon. Detailed information can be found in OLAT.


Dates and location

One-off dates

  •    Mo (14.10.2024), 13:45 - 17:00, 48-538
  •    Di (15.10.2024), 13:45 - 17:00, 48-538
  •    Mi (16.10.2024), 13:45 - 17:00, 48-538
  •    Do (17.10.2024), 13:45 - 17:00, 48-538
  •    Fr (18.10.2024), 13:45 - 17:00, 48-538


Other Information

Number of SWS: 2 Hours
Language: English


KIS

Here you find the KIS entry: KIS 

 

OLAT

Other Information

Number of SWS: 4 Hours + 2 Hours
Language: Englisch
Kennung: MAT-61-19-V-7

KIS

Here you find the KIS entry: KIS 

 

OLAT

Content:

  • Bond and Interest Rate Markets: Assets and Products
  • Short Rate Models
  • Heath-Jarrow-Morton Framework
  • Change of Numéraire
  • LIBOR and Swap Market Models

 

Contact hours:

2 SWS lecture

Prerequisites (Contents):

Financial Mathematics I

KIS

Here you find the KIS entry: KIS 

OLAT

Contents:

  • Standard models: Black-Scholes, Heston und andere SV Modelle, lokale Volatilität
  • Model selection and calibration
  • Approaches to option pricing: analytical formula, partial differential equations, Monte Carlo simulations, tree methods
  • Price calculation for exotic options and certificates
  • Selected topics on Monte Carlo simulations: Generation of random variables, numerical methods for SDEs, variance reduction, stochastic Taylor expansion
  • Convergence of stochastic methods and Donsker's theorem


Contact hours:

2 SWS Lecture

Prerequisites (Contents):

Lecture "Probability Theory"

Frequency:

The lecture takes place irregularly.

Here you find the KIS entry: Computational Finance (Vorlesung)

OLAT

Seminars and Reading Course

Our group offers the following additional courses in the winter term 2024/25: