Financial Mathematics

WS 2023/24

 General Information



Tuesday, 14:00 - 16:00, M4

Wednesday, 12:00 - 14:00, M5


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.