Module Handbook

for the Postgraduate

Distance Learning
Master‘s Programme

Financial Engineering

Master of Science
Table of contents
Introduction ........................................................................................................................................... 3
Course of study plan ............................................................................................................................ 4
Module descriptions ............................................................................................................................. 5
Introduction to Financial Mathematics ......................................................................................... 5
Financial Mathematics ..................................................................................................................... 7
Interest Rate Models ........................................................................................................................ 9
Insurance Mathematics .................................................................................................................... 11
Financial Statistics ........................................................................................................................... 14
Risk Measures and Rating Systems ............................................................................................... 16
Economics of Banking ..................................................................................................................... 18
Financial Decision Making.............................................................................................................. 20
Computational Finance .................................................................................................................. 22
Modelling in Finance ....................................................................................................................... 24
Advanced Financial Engineering................................................................................................... 26
Master Thesis................................................................................................................................... 28

Version: 20.08.2024
Introduction
This module handbook contains all modules of the distance learning master's programme Financial Engineering. The
study programme, with a standard period of study of 6 semesters includes 12 compulsory modules.

The specification of the workload in hours for the respective modules and the appropriate credit points (CP) is always
rounded to whole numbers in the module descriptions. The workload results from the total of contact hours (i. a. on-
campus phases and online tutorials) and self-study (i. a. reading the study materials, working on the corresponding
exercises, examination preparation), with one CP corresponding to 25 hours.

For individual courses (e.g. online seminars or on-campus courses or on-campus phases) it might be necessary to limit
the number of participants. In case, early communication and respective registration/allocation will be via the online
campus.

3
Course of study plan
Sem. Module  CP

1 FE01: Introduction to Fi- FE02: Financial Mathematics 15

nancial Mathematics
(CM) – 10 CP
(CM) – 5 CP
(EX: WEwsM); (CW: MIE, T)
(EX: PR); (CW: MIE, T)
On-campus phase I
On-campus phase I

2 FE03: Interest Rate Mo- FE04: Insurance Mathematics 15

dels
(CM) – 10 CP
(CM) – 5 CP
(EX: WEwsM); (CW: MIE, T)
(EX: PR); (CW: MIE, T)
On-campus phase II
On-campus phase II

3 FE05: Financial Statistics FE06: Risk Measures and Ra- FE07: Economics of Ban- 15
ting Systems king
(CM) – 5 CP
(CM) – 5 CP (CM) – 5 CP
(EX: WEwsM); (CW: MIE, T)
(EX: WEwsM); (CW: MIE, T) (EX: WEwsM); (CW: MIE, T)
On-campus phase III
On-campus phase III On-campus phase III

4 FE08: Financial Decision FE09: Computational Finance 15

Making
(CM) – 5 CP
(CM) – 10 CP
(EX: PR); (CW: MIE, T)
(EX: WEwsM); (CW: MIE, T)
On-campus phase IV
On-campus phase IV

5 FE10: Modelling in Finance FE11: Advanced Financial En- 10

gineering
(CM) – 5 CP
(CM) – 5 CP
(EX: PR); (CW: T)
(EX: PR); (CW: MIE, T)

6 FE12: Master Thesis 20

(CM) – 20 CP

(EX: MT); (CW: C)

Abbreviations
C Colloquium MIE Mail-in exercise
CM Compulsory module MT Master’s thesis
CP Credit point PR Presentation
CW Coursework T Tutorial
EX Examination WEwsM Invigilated written exam with supporting material

4
Module descriptions
Introduction to Financial Mathematics

Module number: Workload total (25 Credit points: Subject-rela- Time required Module start
h = 1 CP): ted semester: for the module: (periodic):

FE01 125 h 5 CP 1. SRS 1 sem. winter sem.

1. Courses (on-campus1): Contact hours: Self-study:

On-campus phase 3h 122 h

Online tutorial

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in three tutorials and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− Modeling of discrete-time financial markets

− Applications of concepts of probability theory: Conditional expectation, martingales, stopping times,
change of measure
− Binomial model
− Theory of pricing in discrete-time financial markets
− Pricing of European options
− Pricing of American options
− Introduction to Matlab for stochastic problems

6. Competencies/intended learning achievements:

The students have learned to formulate and develop mathematically precise financial mathematical discrete-
time models with the concepts of the measure-theoretical probability theory. They have prepared concepts of
discrete-time stochastic processes from probability theory and learned to apply them to financial mathemati-
cal questions. They have developed the basic principles of price theory in discrete-time financial market mo-
dels and can apply the methods to various types of financial derivatives. They can also implement such me-
thods.

1
Refers to both, a physical attendance (e g. on-campus at university) as well as attendance in synchronous digital formats of teach-
ing/learning.
5
7. Requirements for attendance:

formal: None

content-related: None

8. Requirements for the award of credit points:

Examination(s): Presentation, 15 to 30 min. (ungraded)

Coursework: Tutorials and mail-in exercises (ungraded)

Three online and one on-campus tutorials are offered. For successful completion of the module, full participa-
tion in three tutorials is compulsory.

9. Module grade:

The module is ungraded.

10. Significance for the final grade:

The module is not relevant for the final grade.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbooks: FE01.1: „Probability Concepts for Finance“ and FE01.2: „Introduction to MATLAB“

Other material or N.H. Bingham, R. Kiesel: Risk-Neutral Valuation: Pricing and Hedging of Financial Deriva-
literature: tives; J. Jacod, P. Protter: Probability Essentials; S. Pliska: Introduction to Mathematical
Finance; S. Shreve: Stochastic Calculus for Finance I: The Binomial Asset Pricing Mode;
FE12: „Tools for Writing in Mathematics”.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Authors: Dr. Martin Bracke, Assist.-Prof. Dr. Habil. Sascha Desmettre, Prof. Dr. Jörn Saß
and Dr. Stefanie Schwaar

6
Financial Mathematics

Module number: Workload total (25 Credit points: Subject-rela- Time required for Module start
h = 1 CP): ted semester: the module: (periodic):

FE02 250 h 10 CP 1. SRS 1 sem. winter sem.

1. Courses (on-campus): Contact hours: Self-study:

On-campus phase 3h 245 h

Online tutorial

Invigilated written examination with supporting material 2h

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in three tutorials and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− Fundamentals of stochastic analysis (Brownian motion, Itô integral, Itô formula, martingale represen-
tation theorem, Girsanov theorem, linear stochastic differential equations, Feynman-Kac theorem)
− Diffusion model for stock prices and trading strategies
− Completeness of market
− Valuation of options with the duplication principle, Black-Scholes formula
− Valuation of options and partial differential equations
− Exotic options
− Arbitrage bounds (put-call parity, parity of prices for European and American calls)

6. Competencies/intended learning achievements:

The students know and understand the basic design and properties of stochastic integrals and stochastic dif-
ferential equations. In particular, they are familiar with the Itô formula, the Girsanov theorem, and the re-
presentation theorems. Based on corresponding financial market models, in particular the Black-Scholes mo-
del, they have learned various methods for determining the price of financial derivatives. They can critically
assess the limits of modeling and the applicability of methods to different financial derivatives.The students
have worked out a safe, precise and independent handling of the terms, statements and methods of the learn-
ing material. They understand the arguments presented in the learning materials and are able to transfer them
to similar problems.

7. Requirements for attendance:

formal: None

content-related: FE01 (Introduction to Financial Mathematics)

7
8. Requirements for the award of credit points:

Examination(s): Invigilated written examination with supporting material, 120 min. (graded)

Coursework: Tutorials and mail-in exercises (ungraded)

Four online and two on-campus tutorials are offered. For successful completion of the module, full participa-
tion in three tutorials is compulsory.

9. Module grade:

The grade of the module examination is the module grade.

10. Significance for the final grade:

The module grade is included in the final grade with a single weighting.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbook: FE02: „Financial Mathematics“

Other material or N.H. Bingham, R. Kiesel: Risk-Neutral Valuation: Pricing and Hedging of Financial Deriva-
literature: tives; T. Björk: Arbitrage Theory in Continuous Time; R. Korn, E. Korn: Option Pricing and
Portfolio Optimization – Modern Methods of Financial Mathematics; M. Steele:
Stochastic Calculus and Financial Applications.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Authors: Prof. Dr. Ralf Korn and Prof. Dr. Jörn Saß

8
Interest Rate Models

Module number: Workload total (25 Credit points: Subject-rela- Time required Module start
h = 1 CP): ted semester: for the module: (periodic):

FE03 125 h 5 CP 2. SRS 1 sem. summer sem.

1. Courses (on-campus): Contact hours: Self-study:

On-campus phase 1h 124 h

Online tutorial

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in a tutorial and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− Basics of interest modeling (Bonds and linear products, swaps, caps and floors, bond options, rate of
interest options, interest rate term structure curve, interest rates (short rates and forward rates))
− Heath–Jarrow–Morton framework (simple example: Ho-Lee model, general HJM drift condition,
one- and multidimensional modeling)
− Short rate models (general one factor-modeling, term structure equation, affine modeling of interest
rate structure, Vasicek-, Cox-Ingersoll-Ross- and further models, option pricing model, model calib-
ration)
− Defaultable bonds (Merton model)

6. Competencies/intended learning achievements:

Students understand the fundamentals of the theory of interest rate products and modeling of interest rate
markets. They are able to understand the essential relations between modeling interest rates and pricing inte-
rest rate products and can apply these critically. The students gain a precise and independent handling of
terms, propositions and methods of the learning material. They understand the arguments presented in the
learning materials and are able to reproduce and explain them. They are able to transfer and implement more
complex problems into practice in combination with contents of the modules FE02 and FE04.

7. Requirements for attendance:

formal: None

content-related: FE01 (Introduction to Financial Mathematics) and FE02 (Financial Mathematics)

8. Requirements for the award of credit points:

Examination(s): Presentation, 15 to 30 min. (ungraded)

9
 Coursework: Tutorials and mail-in exercises (ungraded)

Either an online or an on-campus tutorial is offered. For successful completion of the module, full participation
in one tutorial is compulsory.

9. Module grade:

The module is ungraded.

10. Significance for the final grade:

The module is not relevant for the final grade.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory elective module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbook: FE03: „Interest Rate Models“

Other material or T. Björk: Arbitrage Theory in Continuous Time; D. Brigo, F. Mercurio: Interest Rate Mod-
literature: els – Theory and Practice; D. Filipovič: Term Structure Models: A Graduate Course; R.
Zagst: Interest Rate Management; FE12: „Tools for Writing in Mathematics”.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Authors: Prof. Dr. Jörn Saß and Prof. Dr. Frank Seifried

10
Insurance Mathematics

Module number: Workload total (25 Credit points: Subject-rela- Time required for Module start
h = 1 CP): ted semester: the module: (periodic):

FE04 250 h 10 CP 2. SRS 1 sem. summer sem.

1. Courses (on-campus): Contact hours: Self-study:

On-campus phase 2h 246,5 h

Online tutorial

Invigilated written examination with supporting material 1,5 h

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in two tutorials and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

Life Insurance Mathematics:

− Elementary financial mathematics (calculation of interest)
− Mortality
− Insurance benefits
− Net premiums and net actuarial reserves
− Inclusion of costs
− Multiple life insurance
− Multiple decrements
Non-Life Insurance Mathematics:
− Convolution and transforms
− Claim size distribution
− Individual risk model
− Collective risk models
− Total claim size distribution
− Models for claim number process
− Risk process
− Ruin theory and ruin probabilities
− Premium calculation
− Experience rating
− Reserves
− Reinsurance and risk sharing

11
6. Competencies/intended learning achievements:

The students have acquired basic knowledge in the mathematical and practical basics of classical life insurance
mathematics. They can use the knowledge they have acquired to evaluate and determine life insurance pro-
ducts, their cash flows and the actuarial reserves of various insurance benefits. In addition, the students have
acquired a sound overview of the modeling of claim sizes, time of loss and the reserve process within the
framework of the generalised Cramer-Lundberg model in non-life insurance mathematics. They understand
the mathematical foundations of ruin theory and premium calculation. They have become acquainted with the
basic features of experience rating as well as the concepts of loss reserves and reinsurance and are able to
critically question them. The students have worked out a safe, precise and independent handling of the terms,
statements and methods of the learning material. They understand the arguments presented in the learning
materials and are able to transfer them to similar problems.

7. Requirements for attendance:

formal: None

content-related: None

8. Requirements for the award of credit points:

Examination(s): Invigilated written examination with supporting material, 90 min. (graded)

Coursework: Tutorials and mail-in exercises (ungraded)

One online and two on-campus tutorials are offered. For successful completion of the module, full participa-
tion in two tutorials is compulsory.

9. Module grade:

The grade of the module examination is the module grade.

10. Significance for the final grade:

The module grade is included in the final grade with a single weighting.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory elective module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbook: FE04: „Insurance Mathematics“

Other material or H. Bühlmann: Mathematical Methods in Risk Theory; H. Bühlmann, A. Gisler: A Course in
literature: Credibility Theory and its Applications; H.U. Gerber: Life Insurance Mathematics; R.
Kaas, M. Goovaerts, J. Dhaene, M. Denuit: Modern Actuarial Risk Theory; M. Koller:
Stochastic Models in Life Insurance; T. Mikosch: Non-Life Insurance: An Introduction
with the Poisson Process; E. Straub: Non-Life Insurance Mathematics.

12
13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß
tor and lecturers:
Authors: Prof. Dr. Ralf Korn and Prof. Dr. Jörn Saß

13
Financial Statistics

Module number: Workload total (25 Credit points: Subject-rela- Time required for Module start
h = 1 CP): ted semester: the module: (periodic):

FE05 125 h 5 CP 3. SRS 1 sem. winter sem.

1. Courses (on-campus): Contact hours: Self-study:

On-campus phase 1h 123 h

Online tutorial

Invigilated written examination with supporting material 1h

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in a tutorial and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− Models and estimation methods for financial time series (ARCH, GARCH and generalisations), Value
at Risk
− Copulas and their risk management applications based on multivariate data
− Stochastic methods for estimating the probability of extreme events or extreme quantiles

6. Competencies/intended learning achievements:

The students know and understand advanced statistical techniques for modeling time series that represent
fundamental stochastic dependencies in the economy and for modeling and estimating risks, primarily in the
financial and insurance industries. They are able to apply them, and they can critically assess the possibilities
and limits of their use.

7. Requirements for attendance:

formal: None

content-related: FE02 (Financial Mathematics) and FE04 (Insurance Mathematics)

8. Requirements for the award of credit points:

Examination(s): Invigilated written examination with supporting material, 60 min. (graded)

Coursework: Tutorials and mail-in exercises (ungraded)

14
 One online and one on-campus tutorials are offered. For successful completion of the module, full participa-
tion in one tutorial is compulsory.

9. Module grade:

The grade of the module examination is the module grade.

10. Significance for the final grade:

The module grade is included in the final grade with a single weighting.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory elective module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbook: FE05: „Financial Statistics“

Other material or P. Embrechts, C. Klüppelberg, T. Mikosch: Modelling Extremal Events for Insurance and
literature: Finance; H. Föllmer, A. Schied: Stochastic Finance: An Introduction in Discrete Time; J.
Franke, W.K. Härdle, C.M. Hafner: Statistics of Financial Markets: An Introduction; D.
Lando: Credit Risk Modeling: Theory and Applications; E. Lütkebohmert: Concentration
Risk in Credit Portfolios; L. Rüschendorf: Mathematical Risk Analysis.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Author: Dr. Jean-Pierre Stockis

15
Risk Measures and Rating Systems

Module number: Workload total (25 Credit points: Subject-rela- Time required for Module start
h = 1 CP): ted semester: the module: (periodic):

FE06 125 h 5 CP 3. SRS 1 sem. winter sem.

1. Courses (on-campus): Contact hours: Self-study:

On-campus phase 1h 123 h

Online tutorial

Invigilated written examination with supporting material 1h

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in a tutorial and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− Preferences and expected utility

− Axiomatic introduction of risk measures
− Examples: Value at Risk, Average Value at Risk, Shortfall, Worst Case
− Outlook: Robust representation of convex and coherent risk measures
− Estimation of risk measures
− Score-based rating systems
− Utility-based ratings for financial products
− Risk-opportunity classes for insurance products
− Credit default risks: Structural models and reduction models
− Development and valuation of credit portfolios
− Risk-based insurance premiums
− Portfolio optimisation under risk constraints

6. Competencies/intended learning achievements:

The students know and understand the motivation and the basics of the axiomatic theory of risk measures.
They are able to classify different risk measures and assess the advantages and disadvantages of special risk
measures in different application areas of financial mathematics. They are also familiar with various rating pro-
cedures and methods for measuring credit risks and can critically assess and apply them.

7. Requirements for attendance:

formal: None

content-related: FE02 (Financial Mathematics) and FE04 (Insurance Mathematics)

16
8. Requirements for the award of credit points:

Examination(s): Invigilated written examination with supporting material, 60 min. (graded)

Coursework: Tutorials and mail-in exercises (ungraded)

One online and one on-campus tutorials are offered. For successful completion of the module, full participa-
tion in one tutorial is compulsory.

9. Module grade:

The grade of the module examination is the module grade.

10. Significance for the final grade:

The module grade is included in the final grade with a single weighting.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory elective module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbook: FE06: „Risk Measures and Rating Systems“

Other material or P. Embrechts, C. Klüppelberg, T. Mikosch: Modelling Extremal Events for Insurance and
literature: Finance; H. Föllmer, A. Schied: Stochastic Finance: An Introduction in Discrete Time; J.
Franke, W.K. Härdle, C.M. Hafner: Statistics of Financial Markets: An Introduction; D.
Lando: Credit Risk Modeling: Theory and Applications; E. Lütkebohmert: Concentration
Risk in Credit Portfolios; L. Rüschendorf: Mathematical Risk Analysis.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Authors: Prof. Dr. Jörn Saß and Dr. Christian Laudagé

17
Economics of Banking

Module number: Workload total (25 Credit points: Subject-rela- Time required for Module start
h = 1 CP): ted semester: the module: (periodic):

FE07 125 h 5 CP 3. SRS 1 sem. winter sem.

1. Courses (on-campus): Contact hours: Self-study:

On-campus phase 2h 122 h

Online tutorial

Invigilated written examination with supporting material 1 h

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in two tutorials and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− What is a bank, what are its core activities?

− The role of capital markets in intertemporal consumer choices
− Liquidity insurance or why banks exist
− Theory of the bank as a company
− Banks as portfolio managers
− Risk management
− Credit rationing
− Run on banks and how to prevent them
− Macroeconomic aspects of banking
− The regulation of banks

6. Competencies/intended learning achievements:

The overall learning objective is to explain and question the importance of banks for national economies. Stu-
dents acquire the competence to independently analyse the role and function of banking, and in particular to
develop different economic perspectives of banking. They understand the corresponding theoretical funda-
mentals of micro- and macroeconomics and have developed a model-theoretical understanding of a bank as a
special firm and its activities as a financial intermediary as well as the macroeconomic role of banking for an
economy (e.g., causes of banking crises, the importance of systemic risks for an economy, the role of central
banks and various aspects of banking regulation). In addition, they are able to use the learned theory as a deci-
sion-making aid for real decisions. Students will deepen, apply and discuss in tutorials what they have learned
in the textbooks. In this way, students acquire methodological and social competence.

18
7. Requirements for attendance:

formal: None

content-related: None

8. Requirements for the award of credit points:

Examination(s): Invigilated written examination with supporting material, 60 min. (graded)

Coursework: Tutorials and mail-in exercises (ungraded)

Three online and one on-campus tutorials are offered. For successful completion of the module, full participa-
tion in two tutorials is compulsory.

9. Module grade:

The grade of the module examination is the module grade.

10. Significance for the final grade:

The module grade is included in the final grade with a single weighting.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory elective module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbook: FE07: „Ecoomics of Banking“

Other material or J. Eichberger, I.R. Harper: Financial Economics; X. Freixas, J.-C. Rochet: Microecono-
literature: mics of Banking; H. Keiding: Economics of Banking; K. Mattews, J. Thompson: Econo-
mics of Banking.

13. Module coordina- Module coordinator: Prof. Dr. Jan Wenzelburger

tor and lecturers:
Author: Prof. Dr. Jan Wenzelburger

19
Financial Decision Making

Module number: Workload total (25 Credit points: Subject-rela- Time required for Module start
h = 1 CP): ted semester: the module: (periodic):

FE08 250 h 10 CP 4. SRS 1 sem. summer sem.

1. Courses (on-campus): Contact hours: Self-study:

On-campus phase 2h 146,5 h

Online tutorial

Invigilated written examination with supporting material 1,5 h

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in two tutorials and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− Mean-variance analysis (efficient portfolios, two-fund separation, CAPM model)

− Valuation of financial derivatives in CAPM and its variants
− Expected utility approach
− Risk aversion
− Extensions (e.g., asymmetric information, constraints)
− Multi-periodic planning horizon
− Continuous-time portfolio problem: expected utility approach
− Martingale method in complete markets
− Stochastic control approach (HJB equation, verification theorems)
− Portfolio optimisation with constraints (e.g., risk bounds)
− Outlook on incomplete markets: convex constraints
− Alternative methods

6. Competencies/intended learning achievements:

In the one-period financial market, students are familiar with various approaches in agent-based financial mar-
ket models and can evaluate them. With the help of these models, they can decide on different investment
forms. In addition, they are in a position to justify risk minimization through diversification and to critically eva-
luate approaches to decisions under uncertainties. They can assess what can be transferred to a multi-period
model and understand the backward induction approach and the Bellman principle. In the continuous-time fi-
nancial market model, students know and understand the two essential methods for solving stochastic control
problems in financial and actuarial mathematics, the stochastic control approach and the duality approach.
They are able to apply the methods to various portfolio optimisation problems and critically assess the imple-
mentation and applicability of the theoretical results.

20
7. Requirements for attendance:

formal: None

content-related: FE01 (Introduction to Financial Mathematics) and FE02 (Financial Mathematics)

8. Requirements for the award of credit points:

Examination(s): Invigilated written examination with supporting material, 90 min. (graded)

Coursework: Tutorials and mail-in exercises (ungraded)

One online and two on-campus tutorials are offered. For successful completion of the module, full participa-
tion in two tutorials is compulsory.

9. Module grade:

The grade of the module examination is the module grade.

10. Significance for the final grade:

The module grade is included in the final grade with a single weighting.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory elective module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbook: FE08: „Financial Decision Making“

Other material or L. Eeckhoudt, H. Schlesinger, C. Gollier: Economics and Financial Decisions under Risk;
literature: J. Ingersoll: Theory of Financial Decision Making; T. Hens, K. Schenk-Hoppé: Handbook
of Financial Markets, Dynamics and Evolution; R. Korn, E. Korn: Option Pricing and Port-
folio Optimization – Modern Methods of Financial Mathematics; H. Pham: Continuous-
Time Stochastic Control and Optimization with Financial Applications; S. Pliska: Intro-
duction to Mathematical Finance.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Authors: Prof. Dr. Jörn Saß and Prof. Dr. Jan Wenzelburger

21
Computational Finance

Module number: Workload total (25 Credit points: Subject-rela- Time required Module start
h = 1 CP): ted semester: for the module: (periodic):

FE09 125 h 5 CP 4. SRS 1 sem. summer sem.

1. Courses (on-campus): Contact hours: Self-study:

On-campus phase 1h 124 h

Online tutorial

2. Forms of teaching/learning:

Self-study of study materials including exercises, participation in a tutorial and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− Standard models: Black-Scholes, Heston and other SV models, local volatility,

− Model selection and calibration
− Approaches to option valuation: analytical formula, partial differential equations, Monte Carlo simula-
tions, tree methods
− Price calculation for exotic options and certificates
− Selected topics on Monte Carlo simulations: Generation of random variables, numerical methods for
SDE, variance reduction, stochastic Taylor series expansion
− Convergence of stochastic methods and theorem of Donsker

6. Competencies/intended learning achievements:

Students will be able to apply numerically efficiently the methods acquired in the introductory lectures on fi-
nancial mathematics for the price valuation of financial derivatives using various methods. They understand
the different procedures and are able to independently assess which calculation and approximation methods
are suitable for other complex products and implement them numerically efficiently.

7. Requirements for attendance:

formal: None

content-related: FE02 (Financial Mathematics) and FE04 (Insurance Mathematics)

8. Requirements for the award of credit points:

Examination(s): Presentation, 15 to 30 min. (ungraded)

Coursework: Tutorials and mail-in exercises (ungraded)

22
 Either an online or an on-campus tutorial is offered. For successful completion of the module, full participation
in one tutorial is compulsory.

9. Module grade:

The module is ungraded.

10. Significance for the final grade:

The module is not relevant for the final grade.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other Compulsory elective module in the certificate programme Applied Financial Mathematics
RPTU study pro-
grammes:

12. Study material:

Textbook: FE09: „Computational Finance“

Other material or R. Korn, E. Korn, G. Kroisandt: Monte Carlo Methods and Models in Finance and Insur-
literature: ance; Ö. Ugur: An Introduction to Computational Finance; FE12: „Tools for Writing in
Mathematics”.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Author: Prof. Dr. Ralf Korn

23
Modelling in Finance

Module number: Workload total (25 Credit points: Subject-rela- Time required Module start
h = 1 CP): ted semester: for the module: (periodic):

FE10 125 h 5 CP 5. SRS 1 sem. winter sem.

1. Courses (on-campus): Contact hours: Self-study:

Online tutorial 1h 124 h

2. Forms of teaching/learning:

Self-study of study materials including exercises and participation in a tutorial.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

− Working on a project from the fields of the prior modules.

− Starting point: A problem related to the acquired knowledge
− Handling the problem / problem solving: Selection or development of an appropriate financial or ac-
tuarial model, gathering the required theoretical knowledge, formulating solutions, development of
theoretical solutions or selection of suitable numerical methods, implementation of the method.

6. Competencies/intended learning achievements:

Students are able to apply the acquired knowledge to practical problems in finance. They can gather the
knowledge required, develop and implement their solutions independently. Through the presentation of the
results, they have displayed their understanding of the problem and the methods used to analyse it. They are
able to explain their solutions and to reflect them critically.

7. Requirements for attendance:

formal: None

content-related: FE02 (Financial Mathematics) and FE04 (Insurance Mathematics)

8. Requirements for the award of credit points:

Examination(s): Presentation, 15 to 30 min. (ungraded)

Coursework: Tutorials (ungraded)

Two online tutorials are offered. For successful completion of the module, full participation in one tutorial is
compulsory.

24
9. Module grade:

The module is ungraded.

10. Significance for the final grade:

The module is not relevant for the final grade.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other None

RPTU study pro-
grammes:

12. Study material:

Textbook: FE12: „Tools for Writing in Mathematics“

Other material or R. Korn, E. Korn, G. Kroisandt: Monte Carlo Methods and Models in Finance and Insu-
literature: rance; Ö. Ugur: An Introduction to Computational Finance.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Author: Dr. Anna Lena Birkmeyer

25
Advanced Financial Engineering

Module number: Workload total (25 Credit points: Subject-rela- Time required Module start
h = 1 CP): ted semester: for the module: (periodic):

FE11 125 h 5 CP 5. SRS 1 sem. winter sem.

1. Courses (on-campus): Contact hours: Self-study:

Online tutorial 2h 123 h

2. Forms of teaching/learning:

Self-study of study materials, participation in two tutorials and pass mail-in exercises.

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

Current topics (e.g., “Factor analysis for credit portfolios” or “Risk assessment of combined financial and insu-
rance products”), topics with current practical relevance (e.g., “The mathematics behind Sol-vency II”) or clas-
sic areas that cannot be covered in the study material (e.g., reading original papers from the beginnings of fi-
nancial mathematics) are covered.

6. Competencies/intended learning achievements:

The students have learned to work independently on an advanced area of financial mathematics using given
literature and scientific methods. They are prepared to work on their Master's thesis in the field of financial
mathematics.

7. Requirements for attendance:

formal: None

content-related: Depending on the topic of the Reading Course

8. Requirements for the award of credit points:

Examination(s): Presentation, 15 to 30 min. (ungraded)

Coursework: Tutorials and mail-in exercises (ungraded)

Three online tutorials are offered. For successful completion of the module, full participation in two tutorials is
compulsory.

9. Module grade:

The module is ungraded.

26
10. Significance for the final grade:

The module is not relevant for the final grade.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other None

RPTU study pro-
grammes:

12. Study material:

Textbook: -

Other material or Literature recommended by the teaching staff, which will be communicated upon an-
literature: nouncement of the Reading Course.

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:

27
Master Thesis

Module number: Workload total (25 Credit points: Subject-rela- Time required for Module start
h = 1 CP): ted semester: the module: (periodic):

FE12 500 h 20 CP 6. SRS 1 sem. every sem.

1. Courses (on-campus): Contact hours: Self-study:

Colloquium 1h 499 h

2. Forms of teaching/learning:

None

3. Assignment to curriculum:

Compulsory

4. Language:

English

5. Contents:

Limited (advanced) mathematical tasks from financial mathematics

6. Competencies/intended learning achievements:

The students
− are able to independently work on a mathematical task within a given period of time according to sci-
entific methods and can apply the technical and methodological competencies acquired during their
studies;
− can interpret scientific results critically and place them in the respective state of knowledge;
− are able to present their results in writing according to the principles of good scientific practice;

− can present the results obtained orally in a conclusive form and provide well-founded answers to
questions.

7. Requirements for attendance:

formal: For admission to the Master’s thesis, the regulations in sec. 16 par. 3 of the examination
regulations shall apply.

content-related: Depending on the choice of topic of the Master’s thesis

8. Requirements for the award of credit points:

Examination(s): Master’s Thesis (graded)

Coursework: Colloquium (ungraded)

9. Module grade:

The grade of the module examination is the module grade.

28
10. Significance for the final grade:

The module grade is included in the final grade with a single weighting.

11. Reference to module:

Referring to the None

present study
programme:

Referring to other None

RPTU study pro-
grammes:

12. Study material:

Textbook: FE12: „Tools for Writing in Mathematics“

Other material or After consultation with the supervisor.

literature:

13. Module coordina- Module coordinator: Prof. Dr. Jörn Saß

tor and lecturers:
Author: Dr. Anna Lena Birkmeyer

29