434609 VO Principles of mathematical finance

winter semester 2019/2020 | Last update: 09.09.2020 Place course on memo list
434609
VO Principles of mathematical finance
VO 1
3
Block
annually
English

The lecture aims at introducing students to important advanced mathematical tools used in Finance. After attending the lecture students are familiar with (i) concepts of probability such as the probability space, random variables, Martingales, and the Markov property, (ii) concepts of optimization, such as linear programming, (iii) essentials of matrix algebra as applied in portfolio theory or principal component analysis, and (iv) principles of numerical methods as applied for simulation and valuation purposes.

The contents of the lecture is structured around the following agenda:

  • Probability space, Probability measure and Random variables
  • Optimization techniques
  • Matrix algebra
  • Numerical methods

Lecture

Written exam

Positive grade of the module according to § 7 Abs. 1 Z 1

not applicable
see dates
Group 0
Date Time Location
Tue 2019-11-12
15.00 - 17.45 SR 19 (Sowi) SR 19 (Sowi) Barrier-free
Tue 2019-11-19
15.00 - 17.45 SR 19 (Sowi) SR 19 (Sowi) Barrier-free
Tue 2019-11-26
15.00 - 17.45 SR 19 (Sowi) SR 19 (Sowi) Barrier-free
Tue 2019-12-03
15.00 - 17.45 SR 19 (Sowi) SR 19 (Sowi) Barrier-free
Tue 2019-12-10
15.00 - 17.45 SR 19 (Sowi) SR 19 (Sowi) Barrier-free
Fri 2020-01-31
10.00 - 11.45 HS 3 (Sowi) HS 3 (Sowi) Barrier-free Exam
Tue 2020-06-16
12.00 - 13.45 SR 19 (Sowi) SR 19 (Sowi) Barrier-free Retake
Tue 2020-06-16
12.00 - 13.45 UR 1 (Sowi) UR 1 (Sowi) Barrier-free
Fri 2020-10-02
10.00 - 11.45 UR 3 (Sowi) UR 3 (Sowi) Barrier-free Retake 2/Präsenzprüfung