040723 UK Financial and Insurance Mathematics (MA) (2024W)
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 09.09.2024 09:00 to Th 19.09.2024 12:00
- Deregistration possible until Mo 14.10.2024 23:59
Details
max. 30 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
- Thursday 03.10. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 10.10. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 31.10. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 07.11. 13:15 - 14:45 Digital
- Thursday 14.11. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Friday 15.11. 11:30 - 13:00 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 21.11. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- N Thursday 28.11. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 05.12. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 12.12. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 09.01. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 23.01. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
- Thursday 30.01. 13:15 - 14:45 Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Stock
Information
Aims, contents and method of the course
Basic introduction to stochastic analysis to get an idea of the necessary tools for market models in Mathematical Finance, e.g., Ito formula for Brownian motion, Girsanov's theorem, martingale representation theorem. Ideas will be presented with examples of market models such as the Black Scholes model. Introduction to interest theory in particular in view of risk management for insurances.
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 (lecture and exercises)
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: Th 31.10.2024 09:25