The focus of this course is on continuous time models in financial mathematics. The first part of the course covers an introduction to stochastic calculus, stochastic differential equations, risk-neutral pricing, and the fundamental theorem of asset pricing in continuous time.
Lecture given by Dörte Kreher and Paul Hager.
Prerequisites:
- Analysis I + II
- Linear Algebra I+II
- Stochastic I+II
Recommended, but not required:
- Stochastic Analysis (or in parallel)
- Financial Mathematics I
Lectures (starting April 20th):
- Thursday, 9 – 11, Room 3.006 (RUD 25)
- Friday, 9 – 11, Room 3.007 (RUD 25)
Tutorials (starting April 28th):
- Friday, 11 – 13, Room 3.006 (RUD 25)
Material
- Shreve, S.E.., Karatzas, I. (2014). Brownian Motion and Stochastic Calculus. United Kingdom: Springer, New York.
- Shreve, S. E. (2004). Stochastic Calculus for Finance II: Continuous-Time Models. Germany: Springer.