Probability Theory vs. Financial Derivatives: Probability Wins!

Target group

Doctoral students, postdocs and master students with an interest in financial mathematics. 

Aims of the course

The aim of the course is to give a hands-on practical introduction to financial mathematics.
Using the tools and techniques discussed in the course, students should be able to judge independently
offers and products from the financial market and assess the mechanisms they use to generate profits.

Course content

This course consists of three parts. The first part provides a brief
introduction to the subject of probability theory, reaching the
intermediate graduate level in the subject; the prerequisite for this
part of the course entails only a good background in calculus.

The second part of the course will cover applications of probability
theory to the analysis of certain financial derivatives and structured
investment products that have played central roles in the extreme
behavior of the financial markets since 2000.

In the last part of the course, the class will analyze the prospectuses
of some financial derivatives and structured products. Students will be
carry out a real-time analysis of these financial instruments. Thus, the
overall goal of the course is to instruct students in the importance of
basic probability theory for the everyday analysis of novel financial


May 12th to 16th, 2014, 09:15-11:00 (lecture)
May 12th to 16th, 2014, 16:00-17:30 (practical session)



Im Neuenheimer Feld 368

Room 520/532

69120 Heidelberg


Please use the   web application to register!

Number of Participants

max. 20 participants