Financial Mathematics
WS 2023/24
General Information
| Lecture: |
Tuesday, 14:00 - 16:00, M4 Wednesday, 12:00 - 14:00, M5
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| Lecturer: | PD Dr. Volkert Paulsen |
| Topics: | The course deals with the following topics: • Informal introduction to financial markets and their derivatives • The replication principle: valuation of payoff streams • Actuarial valuation of payoff streams • Financial market models in discrete time • The No Arbitrage theorem • The second No Arbitrage theorem • Valuation of financial derivatives • Stochastic foundations of financial markets in continuous time • The Black-Scholes model and the Black-Scholes formula • Pricing of derivatives in the Black-Scholes model |
| Lectture Notes: | The lecture is based on my notes "Finanzmathematik". |
Tutorials
| Date: |
Wednesday, 08:00-10:00 Weekly exercises have to be worked on. |
| Learnweb: | This is the link to the Learnweb-course. |
| Examination: | A degree relevant examination can be provided by attending the tutorials and taking an oral examination. |