Continuous Time Finance

The focus of this course is on continuous time models in financial mathematics. Topics include stochastic calculus for Brownian Motion, stochastic differential equations, risk neutral pricing, and the fundamental theorem of asset pricing in continuous time. 

Lecture given by Paul Hager (paul.hager[at]hu-berlin.de).

Prerequisites: 

  • Analysis I + II 
  • Linear Algebra I+II
  • Stochastic I+II

Recommended, but not required:

  • Stochastic Analysis 
  • Financial Mathematics I 

Lectures (starting April 25th):

  • Monday, 9 – 11, Room 2.006 (RUD 25)

Tutorials (starting May 2nd, every other week):

  • Monday, 11 – 13, Room 2.006 (RUD 25)

Material