Financial Mathematics

WS 2022/23

 General Information



Tuesday, 08:30 - 10:00, M4


Wednesday, 10:00 - 12:00, M3


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".




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.