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.
Foundations in Financial Mathematics
Links
Here you find the KIS entry: Foundations in Financial Mathematics (lecture)
Here you find the OLAT course:
Probability Concepts for Financial Markets
Contents
- 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
Links
Here you find the KIS entry: Probability Concepts for Financial Markets (compact course)
Here you find the OLAT course: RPTU Probability Concepts for Financial Markets SS 24
Financial Mathematics
Contents
- 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)
Links
Here you find the KIS entries: Financial Mathematics (lecture)Financial Mathematics (tutorial)
Here you find the OLAT course:
Life Insurance Mathematics
Links
Here you find the KIS entry: Life Insurance Mathematics (lecture)
Here you find the OLAT course:
Life, Health and Pension Insurance Mathematics
Contents
Life Insurance Mathematics:
- Dynamic models (Markov chain, continuous time),
- Stochastic interest rates,
- Products with investment in the financial market and guarantee funds,
- Market consistent valuation.
Health Insurance Mathematics:
- Premium principles,
- Reserves for increasing age and contract changes,
- Profit participation and premium reductions ,
- Risk assessment.
Actuarial Mathematics for Pension Plans:
- State diagrams and benefits,
- Neuburger's model,
- Estimation of decrement rates,
- Premiums and actuarial reserves.
Links
Here you find the KIS entry: Life, Health and Pension Insurance Mathematics (lecture)
Here you find the OLAT course:
Seminars and Reading Course
Our group offers the following additional courses in the summer term 2024:
Seminar: Advanced Topics in Financial and Insurance Mathematics
Contact time
2 SWS seminar
Dates will be agreed upon at the first meeting in the summer term.
Please contact Prof. Dr. Jörn Saß by e-mail by March 31.
Links
Here you find the KIS entry: Seminar Advanced Topics in Financial and Insurance Mathematics
Here you find the OLAT course: