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Financial Mathematics 2

MA3408Elective Modules9 ECTSEnglishsummer semesterDepartment Mathematics
AI-edited module sheet. Based on the TUMonline module description, edited for readability.Original in TUMonline

What it is about

You 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.

What you will be able to do

  • understand theoretical foundations of stochastic processes and Ito calculus
  • apply no-arbitrage, completeness and risk-neutral valuation
  • use Black-Scholes model and generalizations for pricing
  • determine prices for classical and exotic options
  • implement numerical methods (e.g. Monte Carlo, Fourier pricing)

What the module consists of

  • VorlesungDelivery of theoretical content through presentations and Blackboard proofs
  • Übungtheoretical exercises and computer-oriented exercises for deepening and implementation

Teaching method

  • Lecture with slides and board proofsfor structured transmission of theory and derivations
  • Exercise groups (theoretical and computer-oriented)for practicing problems, teamwork and implementing simulations and implementations
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Official page in TUMonline · Details are not binding.