MSc Finance: Compulsory Course  

Lecture: Thursday, 12.15-14, H3; Friday 10.15-12, H12; 

First Lecture: 18.10

Exercise Course: Tuesday, 14.15-16, H13;

First Exercise Classes: 23.10;

Solutions of first exercise sheet: 30.10

Tutorium (only MSc Finance students): Wedesday, 14-16, He 18 E60

First tutorium: 24.10.

Tutorium on 17.12.12 (instead of 19.12.22) He 22,  Room 2.02 16:00-17:30

Please register in SLC system

Final Exam

written, Feb. 26th 2013 at 9:00 (the DAV part starts at 10:45) in H3 and H4/5. If you take DAV exam, go to H4/5. If you do not take the DAV part, go to H3.

see also General Information about the course

Prerequisite: 50% of exercise points

You are supposed to sign up on the list during either Exercises FiMa I on 22.01.2013 or during lecture on 24.01.2013 or 25.01.2013. If there your name is not on the list, please write an e-mail  to the exercise teacher BEFORE 18th February 2013.

Additionally, if you want to take the Financial Mathematics I exam, you have to register in Hochschulportal. You are supposed to register for '' Vorleistung'' before 13.02.2013. All details concerning the exam were given during lectures on 17.01 and 18. 01. Details can be found  here.

During the FiMa I exam you are allowed to have one A4 sheet of handwritten notes. No notes are allowed during the DAV-part exam. Both during FiMa I exam and DAV part you are allowed to use a non-programmable calculator.

Post Exam Review:  Feb. 28th 2013 (Thursday), 13:30-15:00, He 18, 2.20

DAV results are available in slc system in Exercise Sheet 15: If you receive 1, that means that you have passed DAV exam and FiMa exam. If you receive 0, that means that you either have failed Fima exam or DAV exam. If you have received -1, that means that you have not taken DAV part.

The results are now available in HSP. Recorrected results are updated.

REEXAM: April 11th, 2013 H3, 9:00

Post Exam Review:  April 12th 2013 (Friday), 10:00-10:30, He 18, 2.28

Prerequisites:

Analysis I,II; Lineare Algebra I,II; Stochastik I; Elementary Probability and Statistics; Measure Theory;

This course covers the fundamental principles and techniques of financial mathematics in discrete- and continuous-time models.  Specific topics are

• Financial market models in discrete time: arbitrage freeness and completeness                                         
• Valuation of European, American and path-dependent options
• Foundations of continuous time market models and of the Black-Scholes
  model
• Interest rate models and derivatives
• Risk measures
• Portfolio optimisation and CAPM

• Baxter, M.; Rennie, A.: Financial Calculus: An introduction to derivative pricing. (Cambridge University Press), 1996.
• N.H.Bingham & R.Kiesel, Risk Neutral Valuation (2^nd edition), Springer 2004.
• Björk, T.: Arbitrage theory in continuous time. (Oxford University Press,
  Oxford) 2.edn. 2003.
• H. Föllmer & A. Schied, Stochastic Finance: An introduction in discrete time, de Gruyter, 2004.
• Korn, R.; Korn, E.: Option Pricing and Portfolio Optimization. (American Mathematical Society, Providence), 2001.
• Musiela, M.; M. Rutkowski: Martingale methods in financial modelling. (Springer, New York), 2nd ed. 2004.
• S. Shreve, Stochastic Calculus for Finance I: The  Binomial Asset Pricing Model, Springer, 2004.
  
• S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004.

Exercise Sheets:

Lecture

 Notes:

Conditional Expectation (version: 26.10.2012)  

Sheet 1

Sheet 2

Sheet 3

Sheet 4   Exercise 16

Sheet 5    

Sheet 6

Sheet 7

Sheet 8     Exercise 27

Sheet 9

Sheet 10

Sheet 11

Sheet 12      slides

Sheet 13

Sheet 14

18.10.2012-General information about the course

Slides 29.11.2012

Notes (version 18.02.2013)

Refresher in probability 1

Refresher in probability 2