Modules

17 results

Area of Concentration17

Actuarial Risk TheoryNo ratings for this module yet.Mathematical FinanceYou will learn fundamental models and methods of actuarial risk analysis. The focus is on Poisson and compound-Poisson processes, collective claims model, Renewal theory, and Ruin theory for light and heavy claim distributions; in the end you will be able to apply these concepts and make basic statements about ruin probabilities.5 ECTSruns this semesterMA3442Financial Mathematics 1No ratings for this module yet.Mathematical FinanceYou will learn the fundamentals of mathematical finance in discrete time: pricing and valuation of derivatives in one- and multi-period models, concepts of arbitrage and completeness, as well as basics of portfolio optimization. By the end you will be able to understand price models and implement them numerically, and analyze and optimize portfolios according to risk-return criteria.9 ECTSruns this semesterMA3407Insurance Mathematics 1No ratings for this module yet.Mathematical FinanceYou learn the fundamental stochastic methods of damage/non-life insurance. The focus areas are tariff calculation, capital allocation, individual and collective model, claims provisions, as well as reinsurance. In the end you will be able to understand and apply the most important models for premium calculation, reserving and risk sharing.9 ECTSruns this semesterMA3405ZinsmärkteNo ratings for this module yet.Mathematical FinanceYou will gain a solid introduction to interest rate markets and models for describing term structures. At the end you will be able to value interest-rate instruments and interest rate derivatives as well as measure and manage interest rate risks.5 ECTSruns this semesterMA3703Applied Risk ManagementNo ratings for this module yet.Mathematical FinanceYou analyze five historical risk management cases from different asset classes (Fixed Income, Equity, Commodities, Credit, Hedge funds). You will learn to apply the underlying historical events, the mathematical concepts, and their implementation in simple risk management tools in standard software.5 ECTSno date this semesterMA5730
12 more in Area of ConcentrationComputational Risk Management of Equity-Linked InsuranceNo ratings for this module yet.Mathematical FinanceThe module covers the modeling and risk management of equity-linked insurance products, which combine elements of life insurance and financial derivatives. You will learn how to model and numerically treat complex guarantees, dynamic insurance behavior, and the interaction of mortality and financial risks. In the end, you will be able to perform dynamic hedging, apply numerically demanding methods, and assess and classify regulatory capital requirements.3 ECTSno date this semesterMA5721Credit-Equity ModelingNo ratings for this module yet.Mathematical FinanceYou will learn models for credit and equity risks and deepen the fundamentals of Credit-Equity modeling. At the end you will be able to apply theoretical models (e.g., defaultable Markov-diffusion processes, reduced-form and firm-value models) and numerically value derivative products such as convertible bonds within these models.5 ECTSno date this semesterCIT413034Dependence Models Generated via Line Integrals and Actuarial ApplicationsNo ratings for this module yet.Mathematical FinanceYou learn how multivariate lifetime models can be constructed with the help of line integrals and hazard vector fields. In the end you will be able to generate such models, adapt them, and apply them in actuarial applications, as well as understand discrete and continuous cases with physical interpretation.5 ECTSno date this semesterMA5734Fallstudien in Risikomanagement, Finanz- und VersicherungsmathematikNo ratings for this module yet.Mathematical FinanceYou work on practice-oriented questions from financial mathematics, actuarial science and risk management. You model suitable stochastic approaches, implement numerical algorithms and adapt models to market data; in the end you can evaluate solutions and present your results.6 ECTSno date this semesterMA5727Fallstudien VersicherungsmathematikNo ratings for this module yet.Mathematical FinanceYou learn how life insurance products are designed and their risks controlled. You implement numerical simulation algorithms, evaluate risk and return of different contract forms, and apply models to real actuarial and financial data. In the end you can analyze contracts, guarantees, and longevity risks and present your results appropriately.5 ECTSno date this semesterMA5726Financial Market VolatilityNo ratings for this module yet.Mathematical FinanceYou learn how volatility of financial markets is modeled, estimated and forecasted – both under the physical and under the risk-neutral measure. The course covers discrete procedures (e.g. GARCH, moving averages, Realized Volatility), stochastic models in continuous time (e.g. Heston, local volatility) and practical applications such as hedging, risk assessment, portfolio allocation and trading of volatility products (Variance Swaps, VIX futures, ETFs/ETNs). At the end you can calibrate models, make forecasts and implement the methods in software such as Matlab.5 ECTSno date this semesterMA5719Financial Mathematics 2No ratings for this module yet.Mathematical FinanceYou learn stochastic processes and Ito calculus for modeling financial markets and understand the concepts of arbitrage, completeness and risk-neutral valuation. You can price derivatives (including exotic options) in continuous models, especially Black-Scholes and its generalizations, and implement various numerical methods.9 ECTSno date this semesterMA3408Insurance Mathematics 2No ratings for this module yet.Mathematical FinanceYou learn the fundamentals of personal insurance: life insurance, occupational pension provision, and health insurance. You can calculate expected values and present values of insurance benefits, determine premiums and reserves according to classical and modern models, and apply valuation methods for pension obligations and specific questions of private health insurance.9 ECTSno date this semesterMA3406Investment StrategiesNo ratings for this module yet.Mathematical FinanceYou will gain an overview of important static and dynamic investment strategies and their mathematical foundations. The module is complemented by an introduction to stochastic control methods and utility maximization. In the end you will be able to develop new investment strategies, calculate their net present value, and analyze their risk.5 ECTSno date this semesterMA5709Optimal Transport for Stochastic Processes with Applications to Mathematical FinanceNo ratings for this module yet.Mathematical FinanceYou deal with modern methods of optimal transport and their applications in financial mathematics, probability, statistics and machine learning. A focus is on Optimal Transport for stochastic processes (causal/adapted OT), martingale OT, weak OT as well as on numerical procedures such as entropic regularization and estimation procedures. In the end you can understand the theoretical foundations (duality, regularity, geometric properties) and apply optimal-transport methods to problems of model-independent pricing and robust hedging in financial mathematics.3 ECTSno date this semesterCIT413071Quantitative Risk ManagementNo ratings for this module yet.Mathematical FinanceYou learn basic probabilistic and statistical methods for assessing and modeling financial risks. By the end you can understand, derive and practically apply Risk Measures, Extreme-Value Methods and dependency models — especially in quantitative risk analysis scenarios.5 ECTSno date this semesterMA5415Stochastic Models for Tariff Calculation, Loss Reserving and Reinsurance and Their ApplicationsNo ratings for this module yet.Mathematical FinanceYou learn stochastic models and their application in property and casualty insurance: fundamentals, rating, reserve and reinsurance. By the end you can model tariffs and reserves and evaluate simple reinsurance contracts as well as practical constraints such as data or model risks.3 ECTSno date this semesterMA5736