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 Lecture notes are only for the review of the lectures, and will be posted online by the end of each chapter.
The first lecture is on February 20.
The first exercise class is on February 27, in the second week of the semester.
The new exercises will be posted here on Tuesdays, 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.
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 04 | Submission | Solution 1 |
| Exercise sheet 2 | March 11 | Submission | Solution 2 |
| time | room | assistant | language |
|---|---|---|---|
| Th 14:15-15:00 | HG G 3 | Uberto Regina | English |
| Th 15:15-16:00 | HG G 3 | Evgeny Kolosov | 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.