Syllabus

Title
4376 Mathematical Methods - Financial Mathematics
Instructors
Luna Rigby, MSc (WU)
Contact details
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
02/26/24 to 02/29/24
Registration via LPIS
Notes to the course
Dates
Day Date Time Room
Monday 03/04/24 09:30 AM - 11:30 AM D4.0.019
Wednesday 03/06/24 09:30 AM - 11:30 AM D4.0.019
Monday 03/11/24 09:30 AM - 11:30 AM D4.0.019
Wednesday 03/13/24 09:30 AM - 11:30 AM D4.0.019
Monday 03/18/24 09:30 AM - 11:30 AM D4.0.019
Wednesday 03/20/24 09:30 AM - 11:30 AM D4.0.019
Monday 04/08/24 09:30 AM - 11:30 AM EA.6.026
Monday 04/15/24 09:30 AM - 11:30 AM D4.0.019
Wednesday 04/17/24 09:30 AM - 11:30 AM D4.0.019
Monday 04/22/24 09:30 AM - 11:30 AM D4.0.019
Wednesday 04/24/24 09:30 AM - 11:30 AM D4.0.019
Monday 04/29/24 09:30 AM - 11:30 AM TC.3.03
Contents
The course covers the following topics:
  • Discrete probability: basic concepts and elementary models, conditional expectation, martingales
  • The binomial asset pricing model
Learning outcomes

After completing this class the student will have the ability to:

  • describe and apply the basic concepts of discrete probability
  • describe and apply the binomial asset pricing model
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.
Assessment
  • 2 written tests (midterm weights 30%, final weights 40% of the final grade)
  • 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

Grading key:

1:  >= 86%

2:  >= 74%

3:  >= 62%

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.
Readings

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Recommended previous knowledge and skills

Other
Course Readings:The material will be made available at Learn@WU.
Last edited: 2024-02-22



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