Workgroup Financial Mathematics

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Credit Derivates

Dr. C. Wagner

Date and Time:

  • Mo 8:15 to 9:45 (Room B 132).

Further Information:

  • Content: After a introduction to the various credit derivative products we briefly reiterate the main topics from stochastic analysis to cope with the modeling theory (stochastic processes, stochastic integration). We then work through the subject by discussing selected research articles on credit derivatives.
  • The lecture adresses: Master students in mathematics and business mathematics, diploma students in mathematics and business mathematics.
  • Required previous knowledge: Prerequisites: Probability theory, stochastic analysis, financial mathematics.
  • The certificate applies to: Masterprüfungen Mathematik und Wirtschaftsmathematik, Diplomhauptprüfung Mathematik (AM).
  • Literature: Various research articles.