Workgroup Financial Mathematics
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Finanzmathematik IV

Prof. Dr. Francesca BiaginiJacopo Mancin


Schedule and Venue

Lectures
Prof. Dr. Francesca Biagini
Tues, Thurs 10:00-12:00 HS B 006

Exercises
Jacopo Mancin

Thurs 8:15 - 10:00

please note the time change

HS B 006

Final Exam

Retake Exam


Tuesday 15 July 8.00 - 12.00

Thursday 11 September 8.00 - 12.00

Thursday 2 October 8.00 - 12.00

HS B 006

HS B 006

B 051

It will be possible to see the exams on the 9th October in Room 229 between 11.00 and 11.30.


Course Description

Diese Vorlesung führt ein in die theoretischen Konzepte und Modellierungstechniken des quantitativen Risikomanangements. Zum Inhalt gehören: multivariate Modelle, Zeitreihen, Copulas und Abhängigkeiten, Risikoaggregation, Extremwerttheorie, Kreditrisikomanagement, operationelle Risiken und Versicherungsrisikotheorie.


References

McNeil, Frey, Embrechts: Quantitative Risk Management, Princeton University Press, 2005

For whom is this course?

Target Participants: Studierende der Wirtschafts- und Diplommathematik im Hauptstudium und der Masterstudiengänge in Mathematik und Wirtschaftsmathematik.

Pre-requisites:  Stochastik und Finanzmathematik I.

Applicable credits:  Gilt für Masterprüfungen Mathematik (WP33) und Wirtschaftsmathematik (WP60), Diplomhauptprüfung Mathematik (AM), Diplomhauptprüfung Wirtschaftsmathematik (Kernfach C).


Exercises

Correcting your answers and thinking through the exercises is the best preparation for the exam. The solutions need not be submitted, but if you wish them to be corrected, please submit your exercise solutions.

Exercise Handouts: Problem sheets and Solutions will be uploaded here during the course.

  Exercise Sheet 1
  Exercise Sheet 2
  Exercise Sheet 3
  Exercise Sheet 4
  Exercise Sheet 5
  Exercise Sheet 6
  Exercise Sheet 7
  Exercise Sheet 8
  Exercise Sheet 9
  Test Exam
  Solution 1
  Solution 2
  Solution 3
  Solution 4
  Solution 5
  Solution 6
  Solution 7
  Solution 8
  Solution 9


Final Exams

Tuesday 15 July July 8.00 - 12.00