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.
- The Slides for Chapter 8 (January 23) are now available for download below.
- The Slides of Artem Bakman’s Practitioner Talk are now available for download below.
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
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 and Slides
The lecture notes and slides presented during the lectures can be download here. The password will be announced during the first 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)
The exercise sheets and solutions can be downloaded here: