Warning! The directory is not yet complete and will be amended until the beginning of the term.
040723 UK Financial and Insurance Mathematics (MA) (2022W)
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 12.09.2022 09:00 to Fr 23.09.2022 12:00
- Deregistration possible until Sa 15.10.2022 23:59
Details
max. 30 participants
Language: German
Lecturers
Classes (iCal) - next class is marked with N
- Tuesday 04.10. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Tuesday 11.10. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Tuesday 18.10. 13:15 - 14:45 Digital
- Tuesday 25.10. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Tuesday 08.11. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Tuesday 15.11. 13:15 - 14:45 Digital
- Tuesday 22.11. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Wednesday 30.11. 13:15 - 14:45 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
- Tuesday 06.12. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Tuesday 13.12. 13:15 - 14:45 Digital
- Tuesday 10.01. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Tuesday 17.01. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Tuesday 24.01. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
- Tuesday 31.01. 13:15 - 14:45 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.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 Black Scholes model, Bachelier model. In insurance mathematics 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: Th 11.05.2023 11:27