The focus of this course is on continuous time models in financial mathematics and stochastic control theory. Topics include stochastic calculus for Brownian Motion, stochastic differential equations, backward stochastic differential equations, viscosity solutions to PDEs. Applications will range from pricing and hedging of derivatives to portfolio optimization.
- Analysis I + II
- Linear Algebra I+II
- Stochastic I+II
Recommended, but not required:
- Stochastic Analysis
- Financial Mathematics I
Lectures (starting April 9th):
- Tuesday, 13 – 15, Room 1.304 (RUD 26)
- Wednesday, 9 – 11, Room 0.313 (RUD 26)
Tutorials (starting April 17th):
- Wednesday, 11 – 13, Room 1.304 (RUD 26)
Here are my lecture notes.
The presentation on risk neutral measures in FX markets should be based on Chapter 9.1-9.3 of Steven Shreve' s book "Stochastic Calculus for Finance II".