401-4889-00L  Mathematical Finance

SemesterAutumn Semester 2020
LecturersJ. Teichmann
Periodicityyearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-4889-00 VMathematical Finance4 hrs
Tue08:15-10:00LFW B 1 »
Thu08:15-10:00ML F 36 »
J. Teichmann
401-4889-00 UMathematical Finance2 hrs
Fri10:15-12:00ML F 38 »
J. Teichmann

Catalogue data

AbstractAdvanced course on mathematical finance:
- semimartingales and general stochastic integration
- absence of arbitrage and martingale measures
- fundamental theorem of asset pricing
- option pricing and hedging
- hedging duality
- optimal investment problems
- additional topics
ObjectiveAdvanced course on mathematical finance, presupposing good knowledge in probability theory and stochastic calculus (for continuous processes)
ContentThis is an advanced course on mathematical finance for students with a good background in probability. We want to give an overview of main concepts, questions and approaches, and we do this mostly in continuous-time models.

Topics include
- semimartingales and general stochastic integration
- absence of arbitrage and martingale measures
- fundamental theorem of asset pricing
- option pricing and hedging
- hedging duality
- optimal investment problems
- and probably others
Lecture notesThe course is based on different parts from different books as well as on original research literature.

Lecture notes will not be available.
Literature(will be updated later)
Prerequisites / NoticePrerequisites are the standard courses
- Probability Theory (for which lecture notes are available)
- Brownian Motion and Stochastic Calculus (for which lecture notes are available)
Those students who already attended "Introduction to Mathematical Finance" will have an advantage in terms of ideas and concepts.

This course is the second of a sequence of two courses on mathematical finance. The first course "Introduction to Mathematical Finance" (MF I), 401-3888-00, focuses on models in finite discrete time. It is advisable that the course MF I is taken prior to the present course, MF II.

For an overview of courses offered in the area of mathematical finance, see Link.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits11 credits
ExaminersJ. Teichmann
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 30 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

 
Main linkInformation
Only public learning materials are listed.

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Data Science MasterInterdisciplinary ElectivesWInformation
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics MasterCore Courses: Applied Mathematics and Further Appl.-Oriented FieldsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation