040723 UK Financial and Insurance Mathematics (MA) (2023W)
Continuous assessment of course work
Labels
MIXED
Registration/Deregistration
Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).
- Registration is open from Mo 11.09.2023 09:00 to Fr 22.09.2023 12:00
- Deregistration possible until Fr 20.10.2023 23:59
Details
max. 30 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
Monday
02.10.
09:45 - 11:15
Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday
12.10.
13:15 - 14:45
Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
19.10.
13:15 - 14:45
Digital
Thursday
09.11.
13:15 - 14:45
Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
16.11.
13:15 - 14:45
Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
23.11.
13:15 - 14:45
Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
30.11.
13:15 - 14:45
Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
07.12.
13:15 - 14:45
Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
14.12.
13:15 - 14:45
Digital
Thursday
11.01.
13:15 - 14:45
Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
Thursday
18.01.
13:15 - 14:45
Digital
Thursday
25.01.
13:15 - 14:45
Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
Tuesday
30.01.
11:30 - 13:00
Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
Information
Aims, contents and method of the course
Basic introduction in stochastic analysis to get an idea of the necessary tools for market models in Mathematical Finance. Ideas will be presented with examples of market models such as the Black Scholes model. In the realm of insurance mathematics the Cramer Lundberg model will be sketched.
Assessment and permitted materials
- written exercises, some are programming tasks (via Moodle)
- presentation of the exercises,
- oral exam.
- presentation of the exercises,
- oral exam.
Minimum requirements and assessment criteria
- obligation to be present, students can be absent three times without excuse
-50% of exercises have to be handed in
- presentation of exercises
- positive oral final examThe number of exercise counts for 30%, the presentation also for 30% and the final exam for 40%.For the number of exercise, the following grading scheme applies:
[90%,100%] Sehr gut (1)
[78%,90%) Gut (2)
[63%,78%) Befriedigend (3)
[50%,63%) Genügend (4)
[0%,50%) Nicht Genügend (5)
-50% of exercises have to be handed in
- presentation of exercises
- positive oral final examThe number of exercise counts for 30%, the presentation also for 30% and the final exam for 40%.For the number of exercise, the following grading scheme applies:
[90%,100%] Sehr gut (1)
[78%,90%) Gut (2)
[63%,78%) Befriedigend (3)
[50%,63%) Genügend (4)
[0%,50%) Nicht Genügend (5)
Examination topics
Content of the course
Reading list
S. Shreve: Stochastic Calculus for Finance II: Continuous-Time Models
I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus;
M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling
A. Mc Neil, R. Frey, P. Embrechts: Quantitative Risk Management
I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus;
M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling
A. Mc Neil, R. Frey, P. Embrechts: Quantitative Risk Management
Association in the course directory
Last modified: We 17.01.2024 16:25