TUM Department of Mathematics

Munich (Garching-Hochbrück), Bavaria, Germany


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Master Programs

Within the framework of the Elite Network of Bavaria the Elite Graduate Program “Finance & Information Management” has been started at the University of Augsburg with the academic year 2004/05, in close cooperation with renowned colleagues from the faculty of Mathematical Finance, Business and Information Systems of the Technische Universität München, since 2015 the University of Bayreuth and other reputable (inter-) national scientific partners. The program addresses students holding a bachelor's degree in the fields of business sciences, computer science, business & information systems engineering, (industrial) engineering, finance and mathematics or other related disciplines.

Through the combination of an excellent professional education in the fields of Financial Management, Business & Information Systems Engineering, Operations Management & Markets, Quantitative Finance and Resource Management with soft skills, multidisciplinary studies and international scientific and corporate partnerships, the aim of the Elite Graduate Program is to provide very talented and motivated students with an exceptional academic education. Admission to this specific educational program with intensive and individual support will provide for a concentrated, international, efficient and, at the same time, cross-linked, practical study.

The program is designed to enable its students to fill responsible leadership positions in business, science and administration.


Elite Graduate Program Finance and Information Management

The departments for BWL-Controlling, BWL Financial Management and Capital Markets and the KfWStiftungslehrstuhl for Entrepreneurial Finance offer different seminars in the area of finance each term. Among those are theory and practice orientated seminars. The core topics of the different seminars are decided by the departments and change every term. The core topics of the seminar which is offered by the department for financial management and capital markets are in the area of finance. Among those are, for example, the capital structure decision, payout policy or risk management of corporations.
Central aspect of this course is the introduction to and intensive work with current papers from the field of Financial Economics with a focus on Empirical Finance, published (or to be published) in leading academic journals. Moreover, students must replicate (partly) the empirical analyses of the papers using real empirical data and/or simulation. The results have to be summarized in a detailled and scientifically demanding presentation. The course is essential to all students intending to write their Master’s thesis at the LFB or using empirical methods in general.
In this module, students are taught fundamental concepts of valuation as well as short-comings and manipulation potential of traditional reporting that hinder exact valuations. Moreover, they are taught important key indicators and their application in financial, performance and strategic balance sheet analysis. Finally, basic and advanced forecast models are taught.
This seminar provides insight into the basics of financial instruments. It treats the design and valuation of futures and options written on stocks, stock market indices, synthetic government bonds and short-term interest rates as well as their application in terms of portfolio hedging problems. In addition to this, it provides an introduction into the rules and regulations on the exchanges by referring to the Eurex Exchange Rules. Finally, it gives an example for the financial consequences caused by neglecting the inherent risk.
1. Mathematical modeling • Fundamental terms • Introduction of basic optimization problems • Modeling of important types of restrictions • Advanced modeling techniques 2. Linear Optimization • Fundamentals and definitions • Simplex-Algorithm • Advanced topics in linear optimization (e.g., duality and opportunity costs, upper and lower bounds) 3. Nonlinear Optimization • Unrestricted nonlinear problems • Advanced topics in nonlinear optimization (e.g., restricted nonlinear problems)
- Basics on modeling (general modeling processes and best practices), optimization (Linear Programming, (Mixed) Integer Programming) and simulation - Queuing theory and stochastics - Processes and methods for data acquisition and preparation by using statistical tools - Introduction to the mathematical modelling systems GAMS and ILOG OPL, and Siemens Tecnomatix Plant Simulation Software, respectively. - Execution and evaluation of experimental studies, sensitivity analyses, and scenario-based decision models - Documentation, preparation, interpretation, and presentation of results
• Options: Basic understanding, put‐call‐parity, binomial and Black and Scholes option pricing, equity as call option • Real options: Identification and binomial pricing • Valuation: Introduction to discounted cash flow (DCF) methods, multiples methods and applications • Initial Public Offerings (IPOs): Empirical studies of IPO costs, IPO process • Capital structure: Weighted average cost of capital (WACC) under the option pricing model (OPM), capital asset pricing model (CAPM) and Modigliani and Miller, trade‐off theory of debt, agency theory of debt, pecking‐order theory of debt • Efficient markets: Definitions, modeling, empirical approaches and results • Mergers and acquisitions (M&A): Explanations of wealth effects of M&A, explanations for conglomerates, empirical results on other forms of ownership decreases and change (divestitures, carve‐outs, spin‐offs, tracking stock, split‐ups, leveraged buyouts) • Dividend policy: Theories of optimal dividend policy, empirical evidence
This lecture provides the theoretical foundation for the pricing of credit derivatives. For the valuation of univariate products, various specifications of so-called structural models are discussed. Then, focus is put on reduced form models, including popular examples. For the pricing of portfolio derivatives, copula models, multivariate structural models, and CIID models are investigated.
Design thinking based development in the digital economy; stimulation of creativity; explorative learning; purpose and essence of management support systems; typical applications for reporting and business analytics; current challanges regarding data supply to decision makers, convincing potential "sponsors" of a (research) project idea
The course will give a basic understanding of common research methods and an overview of some of the main topics in empirical corporate finance. The selected topics include: - market risk premium - capital market efficiency - event studies - Initial public offerincs - liquidy Research methods include: - Regression analysis - Event studies - Implied cost of capital / historical equity premium estimation - Tests for market efficiency
This course is an intensive introduction to various econometric concepts like sampling, estimation, hypotheses testing, and (generalized) linear regression used in applied financial research. The emphasis will be on developing and applying regression-based techniques in both cross-sectional and time-series contexts. Their usefulness will also be examined in the light of current financial studies.
Motivating examples (e.g. dependence in asset returns and default times), definition of copulas and Sklar's Theorem, dependence measures and their properties, computation rules for multivariate probability distributions, families of copulas and general construction principles, parameter estimation, stochastic simulation, applications (e.g. to portfolio credit-risk modelling), uncertainty concerning dependence.
Students work on an individual research project. The research can be done in cooperation with either a supervisor at one of the FIM universities, a partnering company or as a part of a stay at a partnering university in another country. The content is determined by current research topics in the area of Finance & Information Management and can be adjusted to the students' interests. The planning of the research topic is done in close cooperation with the students' academic advisors.
Other course
Die Veranstaltungen im Bereich der Individual Study dienen dazu, die Studenten mit unterschiedlichen Vorkenntnissen auf ein hohes methodisches und fachliches Mindestniveau in den für den Studiengang wichtigen Grundkenntnissen zu bringen. Diese umfassen bspw. Veranstaltungen aus den Bereichen Statistik, Mathematik, (Wirtschafts-) Informatik, Investition und Finanzierung. Die Studenten müssen abhängig von ihrem Vorkenntnissen aus den untern angebotenen Veranstaltungen in Abstimmung mit ihrem wissenschaftlichen Mentor und einem Mitglied aus dem Board die für sie passenden wählen. Angebotene Veranstaltungen: -Introduction in Finance, Operations & Information Management -Operations Research -Stochastic Processes -Capital Investment & Finance -Business & Information Systems Engineering -Introduction in Computer Science -Value-Based Process Management
The structure of the course will follow the information management model by Krcmar with a focus on the strategy and leadership functions. The course address the following topics: - Foundations of information and knowledge management - Business value of IT (frameworks and methods) - IT Governance - IT Controlling - IT Sourcing - IT Security and Risk Management - Knowledge Management - Role of the CIO
The energy turnaround challenges german industry as well as society heavily. Without nuclear power and no fossil energy fuels the price and availability of renewable resources becomes more and more critical. The students learn important basics of the energy sector and discuss economical, political, social and technical chances and risks of the energy turnaround. Within this framework, methods to improve the energy efficiency of various companies will be addressed. The focus is on the potentials that information technology comes with to successfully design the energy turnaround (Green IT, Green IS, Energy Informatics). In addition an overview of the energy turnarounds technical enabler is given and economical potentials of e-mobility and modern storage technology will be discussed. The importance of nonenergetic resources, which are inevitable especially for the so called future technologies, will be explained and economical steps to hedge againgst commodity risks will be introduced.
In this module, students are taught international accounting principles, which are becoming more and more important for internationally operating companies. In particular, they are taught the development of international accounting as well as German and international accounting regulations for group accounting and consolidation procedures for subsidiaries, joint ventures and associates. Finally, goodwill accounting is taught.
This course focuses on practical and theoretical aspects of investment funds, which are among the most important financial products for private and institutional investors. Thus, a profound knowledge of these products and the involved institutions is essential for finance students, practitioners and researchers. Its content is essential to all students who consider investing money in investment funds, who want to work in the investment industry or in the regulation thereof. As the methods used for performance measurement are very similar to methods from other fields, e.g. asset pricing, this course is also essential to all students who want to work in the financial industry in general. Interesting speeches of practitioners and scientists on current topics in fund management and measurement usually complete this course. Selected course topics are: -Definition of funds and regulatory environment -Mutual funds -Classic performance measures and extentions -Market timing and conditional performance -Biases in mutual fund performance -Holdings-based performance and activity measures -Measurement with investment constraints -Liquidity and mutual fund flows -Hedge funds -Private equity funds -Exchange-traded funds
This course treats the practical side of financial markets, in particular options trading (equity trading, options trading, hedging of derivatives, calculating Greeks, payoff diagrams, option valuation, risk management) and special aspects on hedge funds (introduction to Investments, risk profiles of different types of hedge fund strategies, quantitative methodologies to analyze fund return data).
As the importance of IT in business increases, the budgets that companies allocate for the execution of IT projects increases. Due to the resulting increasing number of IT projects, companies need ensure that they have implemented methods for uninform and central control of their IT projects portfolios. The module addresses this problem. Thereby the module covers analysis and discussion of the current problem and the need for an approach for IT portfolio management (ITPM) as well as the qualitative approaches of ITPM. Subsequently, the module addresses selected aspects of ITPM (such as, the evaluation of IT innovations, the latest IT trends, IT outsourcing, etc.) in detail. In addition to presenting the fundaments of the methods, some parts are covered by presenting the current research results and discussing them with the students. To enable a constructive discussion during the module especial preparation of the participants (which includes personal study of scientific articles) is expected.
Outline: The course will enable students to understand the cycle of: 1. defining an IT-strategy with consideration of areas of conflict between achieving economic goals and compliance with laws and regulations 2. evaluating a given IT-environment and communicate deficiencies and improvements towards a heterogeneous set of internal and external addressees/stakeholders 3. realizing improvements of the IT environment (case studies on the implementation of data analysis components for ad-hoc and standardized management reporting) 4. implementing control structures to enforce the ongoing effective use of reporting components.
1. Fundamentals of revenue management • Introduction to revenue management • Components of revenue management (e.g., price differentiation, capacity control, overbooking) 2. Capacity control • Fundamentals of capacity control of single flights and flight networks • Advanced topics in capacity control (e.g., customer choice behavior (independent demand-model, buy-down-model, logit-model), incorporation of risk (evaluation of capacity control policies by risk measures)) 3. Dynamic pricing • Fundamentals of dynamic pricing • Optimization problems and methods of dynamic pricing • Advanced topics in dynamic pricing (e.g., strategic customer behavior)
Modelling the density of returns (assumption of Gaussian asset returns, examination of symmetry and tails, goodness-of-fit tests, histogram and kernel density estimators); modelling expected returns (nonparametric regression and basic linear time series models); modelling the variance of returns (ARCH and GARCH processes); multivariate distributions (Copula models)
The course address the following topics: - Foundations of reference models - Reference modelling methods (e3value, EPK, ERM) - Information systems in production (material planning, time and capacity planning) - Introduction to bank information systems - Core banking systems - stock exchange systems - Information systems for loan processing - Transaction banking - customer relationship management
The seminar focuses on current research topics from the field of Business and Information Systems Informations Engineering that are relevant from both an industry and an academic perspective. As particular sub-topics of Business and Information Systems Engineering, the seminar focuses on Business Process Management, Customer Relationship Management, and IT Portfolio Management. The concrete topics of the seminar can differ each year and are published separately before the seminar using a structured topic template.
Brownian motion: construction and path properties, reflection principle. Stochastic integrals with respect to Brownian motion and Itô's formula. Stochastic integrals with respect to continuous martingales, cross-variation and Itô's product rule. Stochastic differential equations, weak and strong solutions. Lévy' s Theorem, Girsanov's Theorem and applications. Donsker's invariance principle.
Entrepreneurial and visionary decision making that aims on value based management requires, besides other managerial abilities, an integrated view on both risk and return of all business activities. This course aims on quantitative value based management through an integrated risk/return management view. This is motivated on the principles of value based management and grounding on concepts of an integrated risk/return management. Concepts like - risk identification - risk quantification (measures for single risks, e.g. VaR) - requirements for risk measures - allocation principles for risks measurement in portfolios (i.e. proportional allocation, Co-Variance principle, Euler allocation, With/Without principle) - value-based and risk adjusted performance measurement figures (e.g. EVA, RORAC, RAROC) are main methodological concepts introduced within this course. Furthermore, different areas of application (supervision and regulation of financial service industry, corporate finance) are exemplarily discussed as well as the most important impacts of taxation on value based decision making.
Entrepreneurial and visionary decision making that aims on value based management requires, besides other managerial abilities, an integrated view on both risk and return of all business activities. This course aims on quantitative value based management through an integrated risk/return management view. This is motivated on the principles of value based management and grounding on the risk-adjusted performance measurement concept “Integrated Enterprise Balancing” that measures risk and return company-wide consistently. Concepts like - risk identification - risk quantification (measures for for single risks, e.g. VaR) risks in portfolios) - requirements for risk measures - allocation process and principles for risks in portfolio (i.e. proportional allocation, Co-Variance principle, Euler allocation, With/Without principle) - value-based and risk adjusted performance and return measurement figures (e.g. EVA, RORAC, RAROC) are main methodological concepts introduced within this course. Furthermore, different areas of application (supervision and regulation of financial service industry, corporate finance) are exemplarily discussed as well as the most important impacts of taxation on value based management decision making.
Students are engaged in selected core concepts of Value-based Customer Relationship Management (e.g., online marketing, social media, user generated content, co-creation of value), Value-based Business Process Management (e.g., process industrialization, process discovery, process improvement, process maturity) as well as boundaryspanning topics spanning (e.g., integration of customers in business processes). The topics may slightly change per semester in line with current research topics.


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