401-4889-00L Mathematical Finance
| Semester | Autumn Semester 2022 |
| Lecturers | D. Possamaï |
| Periodicity | yearly recurring course |
| Language of instruction | English |
Courses
| Number | Title | Hours | Lecturers | |||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 401-4889-00 V | Mathematical Finance | 4 hrs |
| D. Possamaï | ||||||
| 401-4889-00 U | Mathematical Finance | 2 hrs |
| D. Possamaï |
Catalogue data
| Abstract | Advanced 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 |
| Learning objective | Advanced course on mathematical finance, presupposing good knowledge in probability theory and stochastic calculus (for continuous processes) |
| Content | This 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 notes | The 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 / Notice | Prerequisites 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 credits | 11 credits |
| Examiners | D. Possamaï, D. Krsek |
| Type | session examination |
| Language of examination | English |
| Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
| Mode of examination | oral 30 minutes |
| This information can be updated until the beginning of the semester; information on the examination timetable is binding. | |
Learning materials
| Main link | Information |
| Only public learning materials are listed. | |
Groups
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |
