Description:

Recap and practice concepts and methods covered in the lecture.

Learning Targets:

Students

• know the most important mathematical modelling techniques of financial markets and can apply them to real wordproblems.
• are able to value simple derivative assets and can apply the main principles of risk management.
• are able to solve basic risk management tasks arising in financial institutions and the energy industry.

Outline:

• Examples of asset valuation
• Statistical methods and data analysis
• Implementation of theoretical concepts within the context of programming tasks

Literature:

• N.H. Bingham & R. Kiesel, Risk Neutral Valuation, 2nd edition, Springer, 2004.
• M. Joshi, The Concepts and Practice of Mathematical Finance, CUP, 2003
• S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2004

Methods of Assessment:

Written Exam (90 minutes)

Formalities:

Login into your ZIM account to access the Moodle key under "Material".

Material:

Login mit Shibboleth

• The course material is only available to a restricted user group. You are either not logged in or not in the usergroup.