This is an introductory course on the mathematics for investment, hedging, portfolio management, asset pricing and financial derivatives in discrete-time financial markets.
Topics to be covered include:
This course focuses on discrete-time financial markets. It presumes a knowledge of measure-theoretic probability theory (as taught e.g. in the course "Probability Theory"). The course is offered every year in the Spring semester.
A related course is "Mathematical Foundations for Finance" (MFF), 401-3913-01. Although both courses can be taken independently of each other, only one will be given credit points for the Bachelor and the Master degree. In particular, it is not possible to earn credit points with one course for the Bachelor and with the other course for the Master degree.
This course is the first of a sequence of two courses on mathematical finance. The second course "Mathematical Finance" (MF II), 401-4889-00, focuses on continuous-time models. It is advisable that the present course, MF I, is taken prior to MF II.
For an overview of courses offered in the area of mathematical finance, see Link.
The course is based on different parts from different textbooks as well as on original research literature. Lecture notes will not be available. There will be no recordings.
All additional material for the lectures can be found in the following polybox folder. The password will be sent to everyone registered in the course.
The first lecture is on February 22.
The first exercise class is on February 23, in the first week of the semester.
New exercise sheets are uploaded below on Tuesdays before the corresponding Thursday exercise class, along with solutions to the exercise sheet from the previous week.
The first exercise sheet will appear in the second week of the semester, on February 28.
While handing in your solutions is not compulsory, experience shows that being able to solve the exercises independently goes a long way towards good exam performance. We strongly encourage you to hand in written solutions. This can be done electronically. Please follow the instructions below:
Late submissions will not be considered. In case you submit your solution early and then decide to change something and submit again, we will only consider the most recent submission.
Information about the SAM upload tool and its use can be found in this README.
exercise sheet | due by | upload link | solutions |
---|---|---|---|
Exercise sheet 1 | March 07 | Submission | Solution 1 |
Exercise sheet 2 | March 14 | Submission | Solution 2 |
Exercise sheet 3 | March 21 | Submission | Solution 3 |
Exercise sheet 4 | March 28 | Submission | Solution 4 |
Exercise sheet 5 | April 4 | Submission | Solution 5 |
Exercise sheet 6 | April 18 | Submission | Solution 6 |
Exercise sheet 7 | April 25 | Submission | Solution 7 |
Exercise sheet 8 | May 2 | Submission | Solution 8 |
Exercise sheet 9 | May 9 | Submission | Solution 9 |
Exercise sheet 10 | May 16 | Submission | Solution 10 |
Exercise sheet 11 | May 30 | Submission | Solution 11 |
Exercise sheet 12 | June 6 | Submission | Solution 12 |
The assistants of Group 3 (Probability Theory, Insurance Mathematics and Stochastic Finance) offer regular office hours for questions on courses and exercise classes taught by the professors in the group. Click here for more information.
The examination will be oral and last 30 minutes. The exam material includes all the material from the lecture and all the exercises.