4421 Mathematical Methods - Financial Mathematics
Gabriela Kovacova, DPhil
Contact details
Weekly hours
Language of instruction
02/20/23 to 03/03/23
Registration via LPIS
Notes to the course
Day Date Time Room
Wednesday 03/08/23 10:00 AM - 12:00 PM Online-Einheit
Tuesday 03/14/23 10:00 AM - 12:00 PM TC.4.01
Wednesday 03/22/23 10:00 AM - 12:00 PM TC.5.12
Wednesday 03/29/23 10:00 AM - 12:00 PM TC.3.06
Wednesday 04/12/23 10:00 AM - 12:00 PM D4.0.136
Wednesday 04/19/23 10:00 AM - 12:00 PM TC.4.17
Wednesday 04/26/23 10:00 AM - 12:00 PM TC.3.03
Wednesday 05/03/23 10:00 AM - 12:00 PM TC.5.12
Wednesday 05/10/23 10:00 AM - 12:00 PM D5.1.002
Wednesday 05/17/23 10:00 AM - 12:00 PM TC.5.12
Wednesday 05/24/23 10:00 AM - 12:00 PM D4.0.136
Wednesday 06/14/23 10:00 AM - 12:00 PM TC.5.12

In this course, we will introduce selected topics from financial mathematics, such as mean-variance portfolio theory, capital asset pricing model or option pricing on binomial market model.

Learning outcomes

After completing this class the student will have the ability to describe and apply the introduced models of financial mathematics.

Attendance requirements

Since this is a course with an immanent examination character (PI), attendance is mandatory. Students can miss two units without excuse, absenteeism in further units must be excused / justified by email.

Homework solutions will be presented in class, up to twice not being present when randomly chosen to present homework is acceptable.
Teaching/learning method(s)
The class is mainly taught as a combination of lectures and exercises with homework assignments. Students present their solutions which will be discussed in the group.The course also serves as a preparation for some of the mathematics lectures of the Master in Quantitative Finance curriculum.
  • homework assignments (30% of the final grade) , students will be asked to present their solutions in the class, presentation of the solutions is also counted towards the grade
  • midterm exam (weight 30%)
  • final exam (weight 40%)

Grading key:

1:  >= 90%

2:  >= 80%

3:  >= 65%

4:  >= 50%

5:  < 50%


Prerequisites for participation and waiting lists
Having participated in the course "Mathematical Methods 1 -- Mathematische Grundlagen" is an advantage, but it is NOT a prerequisite for this course. The materials from "Mathematical Methods 1 -- Mathematische Grundlagen" will be made available.

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Recommended previous knowledge and skills

Availability of lecturer(s)

Course Readings:The material will be made available at Learn@WU.
Last edited: 2023-03-06