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.
All additional material for the lectures and the notes can be found in the following polybox folder. The password will be sent to everyone registered in the course.
The notes are only for the review of the lectures, and will be posted online (only) by the end of each chapter.
The first lecture is on February 21.
The first exercise class is on February 29, in the second week of the semester.
The new exercises will be posted here on Wednesdays, along with solutions to the exercise sheet from the previous week. We expect you to look at the problems over the weekend and to prepare questions for the exercise class on the following Thursday.
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.
| exercise sheet | due by | upload link | solutions |
|---|---|---|---|
| Exercise sheet 1 | Feb 28th | Submission | Solution 1 |
| Exercise sheet 2 | Mar 6th | Submission | Solution 2 |
| Exercise sheet 3 | Mar 13rd | Submission | Solution 3 |
| Exercise sheet 4 | Mar 20th | Submission | Solution 4 |
| Exercise sheet 5 | Mar 27th | Submission | Solution 5 |
| Exercise sheet 6 | April 10th | Submission | Solution 6 |
| Exercise sheet 7 | April 17th | Submission | Solution 7 |
| Exercise sheet 8 | April 24th | Submission | Solution 8 |
| Exercise sheet 9 | April 24th | Submission | Solution 9 |
| Exercise sheet 10 | May 8th | Submission | Solution 10 |
| Exercise sheet 11 | May 15th | Submission | Solution 11 |
| Exercise sheet 12 | May 22nd | Submission | Solution 12 |
| time | room | assistant | language |
|---|---|---|---|
| Th 13:15-14:00 | HG E 33.1 | Qinxin Yan | English |
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. All material covered during lectures and exercise classes is examinable. A list of exam questions is available here.
For each student, the first question at the exam will be either one of the exercises done during the exercise classes, or one question from the list provided. This concerns only the first question. The rest of the exam will consist of questions regarding the whole material, as well as unseen exercises.