## Finance C / Foundations of Mathematical Finance – Winter Term 2018/19

On this webpage, you find all information pertaining to my course **Finance C / Foundations of Mathematical Finance** held jointly with **Dr. Sebastian Geissel** in the winter term 2018/19 at the University of Trier.

**News**

- The
**Solutions to Excerise Sheet 3**have been uploaded. - The
**Slides for Chapter 10**(February 06) have been updated. - The
**Excel Sheet for Chapter 10**(February 06) has been uploaded. - The
**Full Set of Slides**for the Economics part of the lecture has been uploaded as a single file.

**Exam**

The **written exam** takes place on

**Tuesday, February 12, 2019, at 14:00h in HS3.**

You are allowed (and should) bring a **calculator** as well as **one A4 sheet of paper with handwritten notes** (you may write notes on both sides of the paper).

**Practitioner Talks**

Starting January, there will be **practitioner talks** on the following dates:

**January 09**, 14:15h: Tobias Marenburg (Bank Julius Bär) – ETFs in Europe**January 16**, 10:15h: Artem Bakman (NordLB) –**Crypto Technology in the Financial Industry****January 30**, 10:15: Matthias Ruppenthal (PayPal International) – On PayPal and Regulatory Reporting Requirements**February 06**, 14:15: Dr. Giles Nzouankeu (CreditPlus) – Measuring Credit Risk and Future Developments in Risk Management

**General Information**

The **lectures** take place on

**Wednesday, 10:15 – 11:45 in HS 12.****Wednesday, 14:15 – 15:45 in HS 5.**

The **exercise classes** are organized by **Artem Dyachenko** and take place on

**Monday, 14:15 – 15:45 in HS 12.**

**Lecture Notes, Slides, and Excel Sheets**

The **lecture notes** and **slides** presented during the lectures can be download here. The password was announced during the first lecture.

You may also download all files individually and check out the **Excel sheets** for each lecture:

- Chapter 1:
**General Background on Derivative Markets**(Slides) - Chapter 1:
**The Crisis of Credit Visualized**(Video) - Chapters 2-5:
**Foundations of Mathematical Finance**(Lecture Notes by Prof. Frank Seifried)- Erratum: In the proof of Theorem 3 (put-call parity), it should say “Sell S for S(t)” for the trading strategy at time t (first line on page 11).
- The following content was not covered in the lectures:
- Section 1.3 on Financial Market Equilibrium and Arbitrage
- The Multinomial Model and Applied Risk-Neutral Valuation in Section 3.2
- Section 3.3 on Asset Pricing Theory
- Section 4 on Portfolio Optimization

- Chapter 4:
**Conditional Expectation on the Coin Toss Space**(Slides) - Chapter 4:
**Arbitrage in the Binomial Model**(Slides) - Chapter 6:
**Options and the Stock Market**(Slides) - Chapter 6:
**Options and the Stock Market**(Excel Sheet) - Chapter 7:
**Interest Rates and Futures**(Slides) - Chapter 7:
**Interest Rates and Futures**(Excel Sheet) - Chapter 8:
**Swaps and FX Products**(Slides) - Chapter 8:
**Swaps and FX Products**(Excel Sheet) - Chapter 8:
**Cross Currency Basis Swaps: A Primer**(updated version – see**stud.IP**for the version presented in the lecture) - Chapter 9:
**Credit Risk and Credit Derivatives**(Slides) - Chapter 9:
**Credit Risk and Credit Derivatives**(Excel Sheet) - Chapter 9:
**Key Financial Indicators are Healthy**(Additional Reading) - Chapter 10:
**Risk Measures**(Slides) - Chapter 10:
**Risk Measures**(Excel Sheet)

**Exercise Sheets**

The **exercise sheets** and **solutions** can be downloaded here: